THE DOLLAR/EURO EXCHANGE RATE AND A COMPARISON OF MAJOR MODELS

被引：4

作者：

Hsing, Yu ^{[1
]}

Sergi, Bruno S. ^{[2
]}

机构：

[1] SE Louisiana Univ, Hammond, LA 70402 USA

[2] Univ Messina, DESMaS V Pareto, I-27898122 Messina, Italy

来源：

JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT | 2009年 / 10卷 / 03期

关键词：

EU; PPP; UIP; extended Mundell-Fleming model; generalized Box-Cox model;

D O I：

10.3846/1611-1699.2009.10.199-205

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article analyzes the behaviour of the USD/EUR exchange rate based on four major models. Using the mean absolute percent error (MAPE) as a criterion, the extended Mundell-Fleming model performs best, followed by the PPP model using the relative PPI, the monetary model, the PPP model using the relative CPI, and the UIP model. The widely used log-log form in the PPP model based on the relative PPI or CPl can be rejected at the 5% level. The insignificant coefficients or unexpected signs of some variables in the monetary and other models may pose some challenges in applications.

引用

页码：199 / 205

页数：7

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