Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
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现代浮动利率时期的汇率与利差关系是真实的吗？
DOI：
10.1111/j.1540-6261.1988.tb02613.x
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发表时间：
1988
期刊：
影响因子：
--
通讯作者：
Kenneth Rogoff
中科院分区：
文献类型：
--
作者：
R. Meese;Kenneth Rogoff
本文探讨了美国、西德国、日本和英国的真实的汇率和真实的利率差之间的关系。与基于国内价格粘性和货币扰动占主导地位的联合假设的理论相反，作者几乎没有发现真实的利率和真实的汇率之间稳定关系的证据。他们考虑样本内和样本外检验。与他们的研究结果一致的一个假设是，真实的扰动可能是汇率波动的一个主要来源。版权所有1988年由美国金融协会。
This paper explores the relation between real exchange rates and real interest rate differentials for the United States, West Germany, Japan, and the United Kingdom. Contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary dis turbances are predominant, the authors find little evidence of a stab le relationship between real interest rates and real exchange rates. They consider both in-sample and out-of-sample tests. One hypothesis which is consistent with their findings is that real disturbances may be a major source of exchange rate volatility. Copyright 1988 by American Finance Association.