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.

Keywords

Authors and Affiliations

Emmendingen, Germany

Sven-Morten Mentzel

Bibliographic Information

Book Title: Real Exchange Rate Movements
Book Subtitle: An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates
Authors: Sven-Morten Mentzel
Series Title: Contributions to Economics
DOI: https://doi.org/10.1007/978-3-642-59017-7
Publisher: Physica Heidelberg
eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 1998
Softcover ISBN: 978-3-7908-1081-3Published: 15 January 1998
eBook ISBN: 978-3-642-59017-7Published: 06 December 2012
Series ISSN: 1431-1933
Series E-ISSN: 2197-7178
Edition Number: 1
Number of Pages: X, 109
Topics: International Economics, Economic Theory/Quantitative Economics/Mathematical Methods

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Table of contents (7 chapters)

Front Matter

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

Back Matter

About this book