Showing 1 - 9 of 9
This paper empirically examines the long-run relationship between real exchange rates and real interest rate (RERI) differentials over the recent floating exchange rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. In contrast to much other...
Persistent link: https://www.econbiz.de/10005141994
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean...
Persistent link: https://www.econbiz.de/10005142071
This paper empirically examines the long-run relationship between real exchange rates and real interest rate (RERI) differentials over the recent floating exchange rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. In contrast to much other...
Persistent link: https://www.econbiz.de/10005599149
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean...
Persistent link: https://www.econbiz.de/10005599197
In this paper the recent literature on long-run exchange rate modeling is surveyed. In particular, we review the voluminous literature that tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal...
Persistent link: https://www.econbiz.de/10008914967
Two main views of exchange rate determination have evolved since the early 1970s: the monetary approach to the exchange rate (in flexible-price, sticky-price, and real interest differential formulations); and the portfolio balance approach. The literature on these views is surveyed, followed by...
Persistent link: https://www.econbiz.de/10008915070
We reexamine the monetary approach to the exchange rate from several perspectives, using monthly data on the deutsche mark-U.S. dollar exchange rate. Using the Campbell-Shiller technique, we reject the restrictions imposed on the data by the forward-looking rational expectations monetary model....
Persistent link: https://www.econbiz.de/10008915486
Persistent link: https://www.econbiz.de/10008915742
This paper uses consumption patterns across countries to measure capital market integration. It argues that earlier empirical tests of this type were potentially misspecified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which...
Persistent link: https://www.econbiz.de/10008917202