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The Long Run Relationship Between Real Exchange Rates And Real Interest Rate Differentials
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Book Synopsis The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials by : Mr.Jun Nagayasu
Download or read book The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 1999-03-01 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Book Synopsis The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials by : Ronald MacDonald
Download or read book The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials written by Ronald MacDonald and published by . This book was released on 2006 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Author :Mr.Francisco Nadal De Simone Publisher :International Monetary Fund ISBN 13 :1451856164 Total Pages :42 pages Book Rating :4.4/5 (518 download)
Book Synopsis Nominal Exchange Rates and Nominal Interest Rate Differentials by : Mr.Francisco Nadal De Simone
Download or read book Nominal Exchange Rates and Nominal Interest Rate Differentials written by Mr.Francisco Nadal De Simone and published by International Monetary Fund. This book was released on 1999-10-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Book Synopsis Long Run Relationship between Real Exchange Rate and Real Interest Rate Differentials by : Nilanjan Patra
Download or read book Long Run Relationship between Real Exchange Rate and Real Interest Rate Differentials written by Nilanjan Patra and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the centrality of the theoretical relationship between real exchange rates and real interest rates differential in open economy macroeconomics, its empirical evidence, particularly when cointegration methods are used, is rather mixed. The study uses IFS, IMF data for India and US for the period of 1993:M04 to 2003:M09. It employs both Engle-Granger and Johansen tests for presence of cointegration. However, it could not found empirical support in favour of the above relationship. The result is robust for different measures of real interest rate differentials.
Book Synopsis What Determines Real Exchange Rates? The Long and Short of it by : Mr.Ronald MacDonald
Download or read book What Determines Real Exchange Rates? The Long and Short of it written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1997-02-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a reduced-form model of the real exchange rate. Using multilateral cointegration methods, the model is implemented for the real effective exchange rates of the dollar, the mark, and the yen, over the period 1974-1993. In contrast to much other research using real exchange rates, there is evidence of significant and sensible long-run relationships for a simplified version as well as for the full version of the model. The estimated long-run relationships are used to produce dynamic equations, which outperform a random walk and produce sensible dynamic patterns in the context of an impulse response analysis.
Book Synopsis Real Exchange Rate and Real Interest Rate Differential by : Kunal Khairnar
Download or read book Real Exchange Rate and Real Interest Rate Differential written by Kunal Khairnar and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Long term determinants of the movements in exchange rate have been an active interest area for both theoretical and empirical research. In this paper, we consider the long run relationship between exchange rates, inflation and interest rates. We find evidence that the Purchasing Power Parity does not hold for the USD/INR exchange rate, which is consistent with previous research. We examine the relationship between real exchange rate and real interest rate differential between India and US. We find weak evidence of cointegration between USD/INR real exchange rate, US real interest rate and Indian real interest, and no cointegration between USD/INR real exchange rate and real interest rate differential using standard cointegration tests. To make our analysis robust, we identify important structural breaks in exchange rate and interest rates and introduce structural breaks in our analysis to test the cointegration between real exchange rate and real interest rates. After introducing structural breaks, we find new evidence of a long term equilibrium relationship between real exchange rate and real interest rate differential. The results of our study underscore the significance of monetary factors in predicting exchange rates in the long run as well as the role of structural shifts in long run time series analysis.
Book Synopsis The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China by : Mr.Zhongxia Jin
Download or read book The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China written by Mr.Zhongxia Jin and published by International Monetary Fund. This book was released on 2003-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
Book Synopsis Real Exchange Rates and Real Interest Rate Differentials: An Empirical Investigation by :
Download or read book Real Exchange Rates and Real Interest Rate Differentials: An Empirical Investigation written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.
Book Synopsis The Long-run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: a Panel Study by : Goodhart
Download or read book The Long-run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: a Panel Study written by Goodhart and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Alternative Approaches to Real Exchange Rates and Real Interest Rates by : Hali J. Edison
Download or read book Alternative Approaches to Real Exchange Rates and Real Interest Rates written by Hali J. Edison and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fundamental Determinants of Exchange Rates by : Jerome L. Stein
Download or read book Fundamental Determinants of Exchange Rates written by Jerome L. Stein and published by Oxford University Press. This book was released on 1997 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Book Synopsis PPP and the Real Exchange Rate - Real Interest Rate Differential Puzzle Revisited by : Georgios E. Chortareas
Download or read book PPP and the Real Exchange Rate - Real Interest Rate Differential Puzzle Revisited written by Georgios E. Chortareas and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the evidence for two of the relationships that underpin (explicitly or implicitly) much of international macroeconomics. The first is purchasing power parity (PPP), or the hypothesis that there exists a constant long-run equilibrium real exchange rate. The second establishes a relationship between real exchange rates and real interest rate differentials. The tests are conducted on a panel of 18 OECD economies using the United States as a numeraire for the post-Bretton Woods era. The results are obtained using new non-stationary panel estimation techniques, which significantly increase the power of the tests. All the tests suggest that there is little evidence supporting PPP when it is tested directly. This contrasts with earlier panel data studies, which tended to find that the real exchange rate was stationary. The results supporting a long-run relationship between real exchange rates and real interest rate differentials appear to be more positive. This again provides a contrast with earlier results, which tended to find no evidence of cointegration. Such studies concentrated on G7 economies. To investigate this further the panel was split into two groups: the G7 and eleven small open economies. For the panel of small open economies strong evidence in favour of cointegration is found. In contrast, there is no evidence of cointegration in a panel that consists purely of the G7 economies.
Book Synopsis Long-Run Determinants of the Real Exchange Rate by : Mr.Hamid Faruqee
Download or read book Long-Run Determinants of the Real Exchange Rate written by Mr.Hamid Faruqee and published by International Monetary Fund. This book was released on 1994-08-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country’s net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.
Book Synopsis Japanese Effective Exchange Rates and Determinants by : Mr.Jun Nagayasu
Download or read book Japanese Effective Exchange Rates and Determinants written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 1998-06-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Book Synopsis A Re-assessment of the Relationship Betweem Real Exchange Rates and Real Interest Rates, 1974-1990 by : Hali J. Edison
Download or read book A Re-assessment of the Relationship Betweem Real Exchange Rates and Real Interest Rates, 1974-1990 written by Hali J. Edison and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in International Money and Finance by : James R Lothian
Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.
Book Synopsis Long-Run Exchange Rate Modeling by : Mr.Ronald MacDonald
Download or read book Long-Run Exchange Rate Modeling written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1995 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which 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 exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.
