Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach

Wright, Allan S and Craigwell, Roland C and RamjeeSingh, Diaram (2011): Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach. Published in: Journal of Business, Finance and Economics in Emerging Economies , Vol. 6, No. 1 (2011): pp. 31-61.

Abstract

This paper uses hybrid models that combine economic fundamentals and micro-market variables to investigate the behaviour of US/Jamaica exchange rate. The co-integration analysis applied to post 2000 monthly data indicates, in contrast to previous studies done on Jamaica that these models give a better fit, produce parameter estimates with sensible signs and sizes and allow for long run relationships which are not present when the micro-based variables are excluded.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange Rates, Microstructure, Co-integration
• Subjects: F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance; F - International Economics > F3 - International Finance; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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