Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate

Autor:	Christian J. Offermanns, Dieter Nautz
Rok vydání:	2006
Předmět:	German Economics and Econometrics Exchange rate Economics language Monetary economics Finance Dollar exchange rate language.human_language
Zdroj:	European Economic Review. 50:1279-1295
ISSN:	0014-2921
DOI:	10.1016/j.euroecorev.2005.03.003
Popis:	This paper investigates whether German or synthetic European pre-EMU data provides the appropriate empirical basis for evaluating Euro/Dollar exchange rate behavior. Monetary exchange rate equations are estimated for both data sets over the pre-EMU period, and out-of-sample forecasts are evaluated to assess their ability to explain the Euro/Dollar exchange rate from 1999 to 2004. While forecast accuracy tests confirm the usefulness of synthetic European data for Euro exchange rate analysis, forecasts based on the German pre-EMU experience cannot even beat a random walk. Our results indicate that the Euro does not simply follow the German Mark, but that it has its origins in the other pre-EMU currencies as well.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5cfcc9a6a05dd91ff7e400503033fef9 https://doi.org/10.1016/j.euroecorev.2005.03.003 Zobrazit plný text záznamu Full Text from ScienceDirect