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 over a recent period characterised by structural breaks and policy regime shifts. The paper models both 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. Out-of-sample forecasts comparing the model with economic fundamentals to benchmarks including the random walk indicate that fundamentals can help at short horizons but less so at longer horizons.

我们采用了新开发的部分协整系统，该系统可以进行水平转换，以研究经济基本面是否构成近期以结构性破裂和政策体制转换为特征的长期美元兑英镑汇率的决定因素。本文使用一组经济变量对汇率的长期和短期动态特征进行建模，这些变量明确反映了量化的货币政策和远期外汇市场的影响。样本外预测将具有经济基本面的模型与包括随机游走的基准进行比较，表明基本面在短期内可以提供帮助，而在较长时期内则不能提供帮助。