Exchange Rates And Real Long Term Interest Rate Differentials
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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 | : Ralph Johann |
Publisher | : GRIN Verlag |
Total Pages | : 30 |
Release | : 2008-09 |
Genre | : Business & Economics |
ISBN | : 3640159772 |
Download Determinants of an Exchange Rate Book in PDF, Epub and Kindle
Seminar paper from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, California State University, Fullerton, course: International Economics, 8 entries in the bibliography, language: English, abstract: This paper will discuss the general relationship between the two major currencies of the world: the US-Dollar and the Euro and the determinants for the exchange rate fluctuations since the introduction of the Euro as the common currency of Europe during the period between January 1999 and November 2005. Since the introduction of the Euro as the common currency of the European Monetary Union (EMU) in 1999 this relationship was first characterized by a sharp depreciation of the Euro followed by a three year lasting appreciation of the same that passed over in a slight depreciation again from the beginning of 2005 in the long run.1 This paper will first focus on the History of the international currency exchange system from the 19th century until the end of the Bretton Woods System in 1973 and on the history of the currency system in the European community. It will then discuss the general determinants of exchange rates in the short and long run. It will be pointed out that in the short run interest rate differentials and expectations of international portfolio investors matter and in the long run the economic fundamentals such as inflation rates and GDP growth rates of either economic region are the main factors for the behaviour of the exchange rate. In this context the theories of the Law of one price and the purchasing power parity are introduced. In the third part of the paper the exchange rate theories introduced in the previous part are applied to the -$ exchange rate in the time period between 1999 and 2005. Thus, the short term and long term factors are used to explain the relationship between the two currencies in this period. Finally, the last part serves as a conclusion.
Author | : James R Lothian |
Publisher | : World Scientific |
Total Pages | : 820 |
Release | : 2017-06-29 |
Genre | : Business & Economics |
ISBN | : 9813148314 |
Download Essays in International Money and Finance Book in PDF, Epub and Kindle
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.
Author | : Jan Marc Berk |
Publisher | : International Monetary Fund |
Total Pages | : 29 |
Release | : 1999-06-01 |
Genre | : Business & Economics |
ISBN | : 1451850344 |
Download Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations Book in PDF, Epub and Kindle
This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies during 1975-97, the paper does not find a further increase in co-movement beyond that associated with the wave of financial market liberalization in the early 1980s. Given the similarity between PPP-based UIP tests and those employing actual exchange rate outcomes, the value added of the former lies mainly with data availability.
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 | : David T. Coe |
Publisher | : |
Total Pages | : 18 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Exchange Rates and Real Long-term Interest-rate Differentials: Evidence for Eitheen OECD Countries Book in PDF, Epub and Kindle
Author | : Ralph Johann |
Publisher | : GRIN Verlag |
Total Pages | : 24 |
Release | : 2008-09-09 |
Genre | : Business & Economics |
ISBN | : 3640158733 |
Download Determinants of an exchange rate Book in PDF, Epub and Kindle
Seminar paper from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, California State University, Fullerton, course: International Economics, language: English, abstract: This paper will discuss the general relationship between the two major currencies of the world: the US-Dollar and the Euro and the determinants for the exchange rate fluctuations since the introduction of the Euro as the common currency of Europe during the period between January 1999 and November 2005. Since the introduction of the Euro as the common currency of the European Monetary Union (EMU) in 1999 this relationship was first characterized by a sharp depreciation of the Euro followed by a three year lasting appreciation of the same that passed over in a slight depreciation again from the beginning of 2005 in the long run.1 This paper will first focus on the History of the international currency exchange system from the 19th century until the end of the Bretton Woods System in 1973 and on the history of the currency system in the European community. It will then discuss the general determinants of exchange rates in the short and long run. It will be pointed out that in the short run interest rate differentials and expectations of international portfolio investors matter and in the long run the economic fundamentals such as inflation rates and GDP growth rates of either economic region are the main factors for the behaviour of the exchange rate. In this context the theories of the Law of one price and the purchasing power parity are introduced. In the third part of the paper the exchange rate theories introduced in the previous part are applied to the €-$ exchange rate in the time period between 1999 and 2005. Thus, the short term and long term factors are used to explain the relationship between the two currencies in this period. Finally, the last part serves as a conclusion.
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