A REASSESSMENT OF THE RELATIONSHIP BETWEEN REAL EXCHANGE-RATES AND REAL INTEREST-RATES - 1974-1990

• 成果类型: Article
• 署名作者: EDISON, HJ; PAULS, BD
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(93)90043-F
• 发表日期: 1993
• 页码: 165-187
• 关键词: Real exchange rates; REAL UNCOVERED INTEREST RATE PARITY; cointegration

摘要

This paper uses cointegration techniques and error-correction models to re-examine the link between real exchange rates and real interest rate differentials. The results show that real exchange rates and real interest rates are nonstationary; however, they are not cointegrated with each other. On the other hand, the dynamic models indicate that there might be a long-run relationship between these variables, but this cannot be verified. The final conclusion is that there is little empirical evidence in support of a systematic relationship, and this result is robust across exchange rates, time periods, and measures of expected inflation.