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| Author: | MacDonald, R. Nagayasu, J. |
| Title: | The long-run relationship between real exchange rates and real interest rate differentials: a panel study |
| Journal: | IMF Staff papers
2000 : VOL. 47:1, p. 116-128 |
| Index terms: | Exchange rates Interest rates Econometric models |
| Language: | eng |
| Abstract: | This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rates and real interest rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. The authors find evidence of statistically significant long-run relationships and plausible point estimates. |
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