Exchange Rates And Real Long Term Interest Rate Differential
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Author | : David T. Coe |
Publisher | : Paris, France : OECD |
Total Pages | : 26 |
Release | : 1985 |
Genre | : Foreign exchange |
ISBN | : |
Download Exchange Rates and Real Long-term Interest-rate Differentials Book in PDF, Epub and Kindle
Author | : Mr.Francisco Nadal De Simone |
Publisher | : International Monetary Fund |
Total Pages | : 42 |
Release | : 1999-10-01 |
Genre | : Business & Economics |
ISBN | : 1451856164 |
Download Nominal Exchange Rates and Nominal Interest Rate Differentials Book in PDF, Epub and Kindle
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.
Author | : Mr.Jun Nagayasu |
Publisher | : International Monetary Fund |
Total Pages | : 13 |
Release | : 1999-03-01 |
Genre | : Business & Economics |
ISBN | : 1451845553 |
Download The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials Book in PDF, Epub and Kindle
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 | : Jerome L. Stein |
Publisher | : Oxford University Press |
Total Pages | : 276 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : 9780198293064 |
Download Fundamental Determinants of Exchange Rates Book in PDF, Epub and Kindle
"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
Author | : Hali J. Edison |
Publisher | : |
Total Pages | : 44 |
Release | : 1995 |
Genre | : Foreign exchange |
ISBN | : |
Download Alternative Approaches to Real Exchange Rates and Real Interest Rates Book in PDF, Epub and Kindle
Author | : Organisation de coopération et de développement économiques |
Publisher | : |
Total Pages | : 18 |
Release | : 1985 |
Genre | : |
ISBN | : |
Download Exchange Rates and Real Long - Term Interest - Rate Differential Book in PDF, Epub and Kindle
Author | : Mr.Francesco Caramazza |
Publisher | : International Monetary Fund |
Total Pages | : 28 |
Release | : 1993-01-01 |
Genre | : Business & Economics |
ISBN | : 1451931336 |
Download French-German Interest Rate Differentials and Time-Varying Realignment Risk Book in PDF, Epub and Kindle
This paper explores the determinants of expected rates of realignment of the French franc/Deutsche mark exchange rate during the period 1987-1991. It does so by first estimating expected parity changes and then relating these to economic variables that are believed to influence agents’ realignment expectations. Time-varying expected rates of realignment are estimated in two ways: one, by adjusting short-term euromarket interest rate differentials for the expected rate of change of the FF/DM exchange rate within the EMS fluctuation band and two, by the differential in the yield on long-term government bonds. The behavior of the exchange rate within the band is found to be consistent with mean reversion and the expected change is nontrivial. Thus, by filtering out the expected mean reversion within the band from short-term interest rate differentials more precise measures of expected changes in the central parity are obtained. Realignment expectations are found to be closely related to the evolution of fundamental economic variables and, for shorter horizons, the position of the franc in the fluctuation band.
Author | : Hyoung-Seok Lim |
Publisher | : |
Total Pages | : 40 |
Release | : 2003 |
Genre | : Foreign exchange |
ISBN | : |
Download A Theory of Exchange Rates and the Term Structure of Interest Rates Book in PDF, Epub and Kindle
Author | : Hali J. Edison |
Publisher | : |
Total Pages | : 48 |
Release | : 1991 |
Genre | : Foreign exchange |
ISBN | : |
Download A Re-assessment of the Relationship Betweem Real Exchange Rates and Real Interest Rates, 1974-1990 Book in PDF, Epub and Kindle
Author | : Kunal Khairnar |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Real Exchange Rate and Real Interest Rate Differential Book in PDF, Epub and Kindle
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.