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Extra info for Real Exchange Rate Movements: An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates

Example text

25 1. : 2. eq: 3. : 4. : 5. : 6. eq: 7. : 2. eq: 3. : 4. : 5. : 6. eq: 7. : 2. eq: 3. : 4. : 5. : 6. eq: 7. 213] for lags 1 22 28 eq. -B. test statistic 1 2 3 4 5 6 7 0 3. 026 Table 9: Skewness, excess kurtosis and Jarque-Bera test statistics for the mark/dollar system eq. -B. 796a 81. 690 Table 10: Skewness, excess kurtosis and JarqueBera test statistics for the pound/dollar system cointegration tests might underestimate the true co integration rank in finite samples when the "noise" in the system is high.

He demonstrated that Johansen's cointegration tests might have power problems in finite samples6. Kostial (1994) showed that Johansen's 3See the Monte Carlo studies of Eitrheim (1992), Cheung and Lai (1993), Toda (1993 , 1994), and Kostial (1994). '7hese tests will be applied in the following. 4. 6He argues that the finite properties of Johansen's cointegration tests would have worsened further if there had been assumed deviations from the normality assumption. 25 1. : 2. eq: 3. : 4. : 5. : 6. eq: 7.

H is the number of forecasting periods. 46 20 steps were generated again and the resulting forecast errors were added to the forecasts statistics mentioned above. Nh is the number of errors which was used in computing the forecast statistics. Theil's U is the ratio of the RMSE of the monetary model to the RMSE of the random walk model. A value of Theil's U that is smaller than 1 means that the monetary model in error correction form produced better forecasts for the real exchange rate than the simple random walk model.

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