A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts

DOI10.1016/j.jedc.2021.104139zbMath1475.91201OpenAlexW3159569390MaRDI QIDQ2246617

Jennifer L. Castle, Takamitsu Kurita

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104139

zbMATH Keywords

exchange ratesstructural breakseconomic fundamentalsunconventional monetary policiesgeneral-to-specific approachpartial cointegrated vector autoregressive models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

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• Exogeneity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

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