A re-assessment of the relationship betweem real exchange rates and real interest rates, 1974-1990
Board of Governors of the Federal Reserve System, 1991 - Business & Economics - 38 pages
What people are saying - Write a review
We haven't found any reviews in the usual places.
12-quarter centered moving 4-quarter changes ADFF PPT PPF ADFT DFF ADFF Alternative Measures ARCH 4 F augmented Dickey-Fuller test bellwether government bonds Bilateral Exchange Rates British pound Canadian dollar ccbal ccbal/gnp centered moving average cointegration tests Coughlin and Koedijk cumulated current account DFF ADFF PPT DFT ADFT DFF dif(cbal dif(cbal/gnp dollar FRB Bulletin dynamic models Engle-Granger equation error correction model error correction term exchange rate Aq exchange rate movements F-statistic final model German mark interest rate differentials International Finance Japan Japanese yen left scale long-run relationship Long-Term Interest Rate measure of expected moving average measure Notes to Table null hypothesis paper Points Ratio Scale pound sterling price level rates and real real exchange rates real interest rate Real Long-Term Interest reject the null relationship between real right scale risk premium Specification Trade-Weighted Value Statistical Properties test statistics U.S. dollar FRB unit root white noise