Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel
利用面板向量误差修正模型，检验加拿大、日本和美国的欧元汇率是否与货币基本面存在长期关系，发现共同长期关系模型在2至4年预测期优于随机游走和标准协整VAR模型。
In this paper a panel of vector error-correction models based on a common long-run relationship is utilized to test whether the Euro exchange rates of Canada, Japan, and the United States have a long-run link with monetary fundamentals. We use both exchange relationships relative to the full EMU area (with synthetic aggregates for the pre-EMU period) and relative to Germany solely. Compared to existing cointegration frameworks our approach provides more evidence that the aforementioned exchange rates are consistent with a rational expectations-based monetary exchange rate model based on a common long-run relationship, albeit with a long-run impact of relative income that is higher than predicted by the theory. As a next step we analyze the out-of-sample fit of this common long-run exchange rate model relative to naive random walk-based forecasts. These forecasting evaluations indicate that the monetary fundamentals-based common longrun model is superior to both random walk-based forecasts and standard cointegrated VAR model-based forecasts, especially at horizons of 2 to 4 years.