Real Exchange Rate Movements: An Econometric Investigation Into Causes of Fluctuations in Some Dollar Real Exchange Rates

ISBN-13: 9783790810813 / Angielski / Miękka / 1998 / 109 str.

S. M. Mentzel; Sven-Morten Mentzel

Opis

One aim of this book is to examine the causes of fluctuations in the mark/dollar, pound/dollar, and yen/dollar real exchange rates for the period 1972-1994 with quarterly data to determine appropriate policy recommendations to reduce these movements. A second aim is to investigate whether the three real exchange rates are covariance-stationary or not and to which extent they are covariance-stationary, respectively. These aims are reached by using a two-country overshooting model for real exchange rates with real government expenditure and by applying Johansen's maximum likelihood cointegration procedure and a factor model of Gonzalo and Granger to this model.

Spis treści

A. Motivation.- B. The Two-Country Overshooting Model and Construction of Variables.- C. Tests for an Autoregressive Unit Root in the Variables of the Overshooting Model.- D. The Cointegration Analysis for the Case of Deterministic Cointegration and Tests with Respect to the Parameters of the Error Correction Model.- E. Forecasting.- F. The Application of the Factor Model.- G. Results.- Appendix 1: The Cointegration Analysis for the Case of Stochastic Cointegration.- Appendix 2: The Description of the Data and Their Sources.- Abbreviations.- List of Figures.- List of Tables.- References.