Alternative approaches to real exchange rates and real interest rates: three up and three down
Board of Governors of the Federal Reserve System, 1995 - Business & Economics - 34 pages
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1994 Trade-Weighted additional variables ADF KPSS ADF ADF test Adjustment coeff assumption asymptotic critical values bellwether government bonds Canadian dollar cointegrating vector constant expected real cumulated current account current account variable David Bowman dollar FRB Bulletin Edison and Pauls equation 11 estimate ex post approach ex post depreciation ex post real exchange rate movements expected real exchange F-Test Finance Discussion Papers foreign G-10 countries German mark interest rate differential interest rate parity Japanese Johansen and Juselius Johansen procedure Koedijk KPSS ADF KPSS linear combination long horizon long-run coefficient long-term horizon Meese and Rogoff Melick nominal interest rates non-cointegration null hypothesis Number percent level purchasing power parity pure discount bond rates and real real exchange rate real interest differential real interest rates reject relationship between real restriction RUIP short-term horizon significant suggested by equation Test statistic three-month Trace Test trade-weighted dollar uncovered interest rate unit root yield