REAL EXCHANGE-RATES AND REAL INTEREST DIFFERENTIALS - HAVE WE MISSED THE BUSINESS-CYCLE RELATIONSHIP

• 成果类型: Article
• 署名作者: BAXTER, M
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(94)90012-4
• 发表日期: 1994
• 页码: 5-37
• 关键词: Real exchange rates; real interest differentials

摘要

This paper investigates the link between real exchange rates and real interest differentials over the recent floating-rate period. In contrast to earlier econometric studies, we find evidence of a relationship, with the strongest link at trend and business-cycle frequencies, Because these prior studies focused on high-frequency components of the data, they found no statistical link between real exchange rates and real interest differentials.