Real Exchange Rate Movements
ISBN:
978-3-7908-1081-3
Auflage:
Softcover reprint of the original 1st ed. 1998
Verlag:
Physica
Land des Verlags:
Deutschland
Erscheinungsdatum:
15.01.1998
Reihe:
Contributions to Economics
Format:
Softcover
Seitenanzahl:
109
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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.
