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The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials A Panel Study

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 sig...

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Bibliographic Details
Main Author: Nagayasu, Jun
Other Authors: MacDonald, Ronald
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1999
Series:IMF Working Papers
Subjects:
Interest Rates
Government And The Monetary System
Payment Systems
Finance
Monetary Economics
Currency; Foreign Exchange
Regimes
Financial Services
Real Interest Rates
Money
Foreign Exchange
Standards
Banks And Banking
Currencies
Monetary Systems
Real Exchange Rates
Interest Rates: Determination, Term Structure, And Effects
Long Term Interest Rates
Exchange Rates
Money And Monetary Policy
Australia
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Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:12 pages
ISBN:9781451845556

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