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:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
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245 0 0 |a The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials  |b A Panel Study  |c Jun Nagayasu, Ronald MacDonald 
260 |a Washington, D.C.  |b International Monetary Fund  |c 1999 
300 |a 12 pages 
651 4 |a Australia 
653 |a Interest rates 
653 |a Government and the Monetary System 
653 |a Payment Systems 
653 |a Finance 
653 |a Monetary economics 
653 |a Currency; Foreign exchange 
653 |a Regimes 
653 |a Financial services 
653 |a Real interest rates 
653 |a Money 
653 |a Foreign Exchange 
653 |a Standards 
653 |a Banks and Banking 
653 |a Currencies 
653 |a Monetary Systems 
653 |a Real exchange rates 
653 |a Interest Rates: Determination, Term Structure, and Effects 
653 |a Long term interest rates 
653 |a Exchange rates 
653 |a Money and Monetary Policy 
653 |a Foreign exchange 
700 1 |a MacDonald, Ronald 
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082 0 |a 330 
520 |a 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