A0353
Title: A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
Authors: Jennifer L Castle - Oxford University (United Kingdom)
Takamitsu Kurita - Fukuoka University (Japan) [presenting]
Abstract: A newly-developed partial cointegration system is employed allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate over a recent period characterized by structural breaks and policy regime shifts. We uncover 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 reflect quantitative monetary policy and the influence 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.
