Dr Xiaoshan Chen xiaoshan.chen@durham.ac.uk
Associate Professor
This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro–Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro–Dollar exchange rate closely followed the values implied by the PEER. The only significant deviations from the PEER occurred in the years immediately before and after the introduction of the single European currency. The forecasting exercise shows that incorporating economic fundamentals provides a better long-run exchange rate forecasting performance than a random walk process.
Chen, X., & MacDonald, R. (2015). Measuring the dollar-euro permanent equilibrium exchange rate using the unobserved components model. Journal of International Money and Finance, 53, 20-35. https://doi.org/10.1016/j.jimonfin.2014.12.008
Journal Article Type | Article |
---|---|
Online Publication Date | Jan 8, 2015 |
Publication Date | May 1, 2015 |
Deposit Date | Feb 20, 2015 |
Publicly Available Date | Jul 8, 2016 |
Journal | Journal of International Money and Finance |
Print ISSN | 0261-5606 |
Electronic ISSN | 1873-0639 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 53 |
Pages | 20-35 |
DOI | https://doi.org/10.1016/j.jimonfin.2014.12.008 |
Keywords | Permanent equilibrium exchange rate, Unobserved components model, Exchange rate forecasting. |
Public URL | https://durham-repository.worktribe.com/output/1414515 |
Accepted Journal Article
(552 Kb)
PDF
Copyright Statement
NOTICE: this is the author’s version of a work that was accepted for publication in Journal of International Money and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Money and Finance, 53, May 2015, 10.1016/j.jimonfin.2014.12.008.
Evaluating Fiscal Policy Reforms Using the Fiscal Frontier
(2023)
Journal Article
Evaluating Fiscal Policy Reforms using the Fiscal Frontier
(2023)
Preprint / Working Paper
Debt Targets and Fiscal Consolidation in a two-country HANK model for the Euro Area
(2023)
Preprint / Working Paper
Strategic Interactions in U.S. Monetary and Fiscal Policies
(2022)
Journal Article
How Optimal is US Monetary Policy?
(2017)
Journal Article
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
Apache License Version 2.0 (http://www.apache.org/licenses/)
Apache License Version 2.0 (http://www.apache.org/licenses/)
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2025
Advanced Search