Real Exchange Rate Movements: An Econometric Investigation Into Causes Of Fluctuations In Some Dollar Real Exchange Rate: An Econ by Sven-Morten MentzelReal Exchange Rate Movements: An Econometric Investigation Into Causes Of Fluctuations In Some Dollar Real Exchange Rate: An Econ by Sven-Morten Mentzel

Real Exchange Rate Movements: An Econometric Investigation Into Causes Of Fluctuations In Some…

bySven-Morten Mentzel

Paperback | January 15, 1998

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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.
Title:Real Exchange Rate Movements: An Econometric Investigation Into Causes Of Fluctuations In Some…Format:PaperbackDimensions:109 pagesPublished:January 15, 1998Publisher:Springer-Verlag/Sci-Tech/Trade

The following ISBNs are associated with this title:

ISBN - 10:3790810819

ISBN - 13:9783790810813

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Table of Contents

Motivation.- The two-country overshooting model and construction of variables.- Tests for an autoregressive unit root in the variables of the overshooting model.- The cointegration analysis for the case of deterministic cointegration and tests with respect to the parameters of the error correction model.- Forecasting.- The application of the factor model.- Results.