Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks
We employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate in an era of structural change. The paper uncovers a class of local data generation mechanisms underlying long-...
| Main Author: | |
|---|---|
| Format: | Working paper |
| Published: |
University of Oxford
2019
|
| _version_ | 1797097773856718848 |
|---|---|
| author | Castle, J |
| author_facet | Castle, J |
| author_sort | Castle, J |
| collection | OXFORD |
| description | We employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate in an era of structural change. The paper uncovers a class of local data generation mechanisms underlying long-run and short-run dynamic features of the exchange rate using a set of economic variables that explicitly re?ect the central banks' monetary policy stances and the in?uence of a forward exchange market. The impact of the Brexit referendum is evaluated by examining forecasts when the dollar-pound exchange rate fell substantially around the vote. |
| first_indexed | 2024-03-07T05:00:03Z |
| format | Working paper |
| id | oxford-uuid:d7f8fa41-7af9-473d-bcf7-6d9188d6f03e |
| institution | University of Oxford |
| last_indexed | 2024-03-07T05:00:03Z |
| publishDate | 2019 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:d7f8fa41-7af9-473d-bcf7-6d9188d6f03e2022-03-27T08:44:49ZModelling and forecasting the dollar-pound exchange rate in the presence of structural breaksWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:d7f8fa41-7af9-473d-bcf7-6d9188d6f03eBulk import via SwordSymplectic ElementsUniversity of Oxford2019Castle, JWe employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate in an era of structural change. The paper uncovers a class of local data generation mechanisms underlying long-run and short-run dynamic features of the exchange rate using a set of economic variables that explicitly re?ect the central banks' monetary policy stances and the in?uence of a forward exchange market. The impact of the Brexit referendum is evaluated by examining forecasts when the dollar-pound exchange rate fell substantially around the vote. |
| spellingShingle | Castle, J Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title | Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title_full | Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title_fullStr | Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title_full_unstemmed | Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title_short | Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks |
| title_sort | modelling and forecasting the dollar pound exchange rate in the presence of structural breaks |
| work_keys_str_mv | AT castlej modellingandforecastingthedollarpoundexchangerateinthepresenceofstructuralbreaks |