Modeling Interest Rate Parity: A System Dynamics Approach

The purpose of this paper is to show the superiority of Keynes’ approach by comparing three system dynamics models of the relationship among interest and exchange rates: one based on traditional uncovered interest rate parity, one with risk, and one with forecast confidence. It will be demonstrated that only the last produces patterns consistent with those observed in the real world.

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Year of publication:	2005-09
Authors:	Harvey, John
Institutions:	Department of Economics, Texas Christian University
Subject:	exchange rates \| interest rate parity \| system dynamics \| institutionalist

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Journal of Economic Issues, June 2006, pages 395-403 Number 200502 14 pages
Classification:	F21 - International Investment; Long-Term Capital Movements ; F31 - Foreign Exchange ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008675830