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

Опубликовано на портале: 10-12-2003
IMF Working Paper Series. 1999.  No. 99/37.
Организация: International Monetary Fund (International Monetary Fund)
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.

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текст статьи в формате pdf на сайте Международного валютного фонда (International Monetary Fund):
http://www.imf.org/external/pubs/cat/longres.cfm?sk=2912.0
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