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A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts

Abstract:

We employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate over a recent period characterised by structural breaks and policy regime shifts. The paper models both long-run and short-run dynamic features of the exchange rate using a set of economic variables that explicitly reflect quantitative monetary policy and the influence of a forward exchange market. Out-of-s...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jedc.2021.104139

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
Magdalen College
Role:
Author
Publisher:
Elsevier
Journal:
Journal of Economic Dynamics and Control More from this journal
Volume:
128
Article number:
104139
Publication date:
2021-04-29
Acceptance date:
2021-04-15
DOI:
ISSN:
0165-1889
Language:
English
Keywords:
Pubs id:
1173035
Local pid:
pubs:1173035
Deposit date:
2021-04-23

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