Time-varying Cointegration Models and Exchange Rate Predictability in Korea
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 박수경 | - |
dc.contributor.author | 박철범 | - |
dc.date.accessioned | 2021-09-04T23:15:41Z | - |
dc.date.available | 2021-09-04T23:15:41Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 2586-2995 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/95805 | - |
dc.description.abstract | We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying cointegration coefficients as compared to those based on constant cointegration coefficients. When the abilities to predict future exchange rates between those models based on time-varying cointegration coefficients are compared, an in-sample analysis shows that the time-varying PPP (monetary model) has better predictive power over horizons shorter (longer) than one year. Results from an out-of-sample analysis indicate that the time-varying PPP outperforms models based on constant cointegration coefficients when predicting future exchange rate changes in the long run. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.title | Time-varying Cointegration Models and Exchange Rate Predictability in Korea | - |
dc.title.alternative | Time-varying Cointegration Models and Exchange Rate Predictability in Korea | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 박철범 | - |
dc.identifier.doi | 10.23895/kdijep.2015.37.4.1 | - |
dc.identifier.bibliographicCitation | KDI Journal of Economic Policy, v.37, no.4, pp.1 - 20 | - |
dc.relation.isPartOf | KDI Journal of Economic Policy | - |
dc.citation.title | KDI Journal of Economic Policy | - |
dc.citation.volume | 37 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 20 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002055031 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Exchange rate | - |
dc.subject.keywordAuthor | Monetary model | - |
dc.subject.keywordAuthor | Predictability | - |
dc.subject.keywordAuthor | Purchasing power parity | - |
dc.subject.keywordAuthor | Time-varying cointegration | - |
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