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Real Exchange Rate Movements : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates. 現実の為替相場の動き―変動の計量経済学的研究
・ISBN 978-3-7908-1081-3 paper EUR 49.99
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| 著者・編者 | Mentzel, S.-M., |
|---|---|
| シリーズ | Contributions to Economics |
| 出版社 | (Physica-Vlg., GW) |
| 出版年月 | 1998 |
| ページ数 | 109 pp. |
| 言語 | ENG |
| ニュース番号 | ＜441-268 000-26992＞ |
解説
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.