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Introduction and Motivation
Exchange Rates and Interest Rates Differential in the Long Run
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ADF test Allan Meltzer appreciate the domestic asset assumptions Bilson CAD-USD and YEN-USD CAD-USD exchange CADDD capital inflows cointegration common cycles common trend contain unit roots corresponding interest rate Dickey different tests differentials are unit DMDD domestic currency domestic interest rates Engle Engle-Granger equation estimates exchange rate determination expected inflation F tests Frenkel GBP-USD home country home currency interest rate differentials interest rate parity Johansen Juselius lag-lead structure long-run nominal long-run relationship long-run value long-term bond long-term interest rate long-term nominal interest magnitude monthly data no-cointegration nominal exchange rates nominal interest rate null hypothesis pairs DM-USD pairs YEN-USD parameter Phillips-Perron test rate determination model rates and interest real exchange rate real interest rate regression reject the null Rogoff sample serial correlation short-term interest rate stationary statistics test finds tests for unit U.S. and Canada U.S. dollar unit root tests Vahid-Engle variables YEN-USD and CAD-USD YEN-USD pairs YENDD