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.
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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|
|Original Title:||Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach|
|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
|Depositing User:||Roland Craigwell|
|Date Deposited:||16. Sep 2011 19:13|
|Last Modified:||13. Feb 2013 06:36|
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