A re-assessment of the relationship between real exchange rates and real interest rates: 1974–1990
A re-assessment of the relationship between real exchange rates and real interest rates: 1974–1990
复制标题
实际汇率与实际利率关系的重新评估：1974-1990
DOI：
10.1016/0304-3932(93)90043-f
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发表时间：
1993
影响因子：
4.1
通讯作者：
B. Pauls
中科院分区：
文献类型：
--
作者：
Hali J. Edison;B. Pauls
本文利用协整技术和误差修正模型重新检验了真实的汇率和真实的利率差之间的联系。结果表明，真实的汇率和真实的利率都是非平稳的，但它们之间并不存在协整关系。另一方面，动态模型表明，这些变量之间可能存在长期关系，但这一点无法得到证实。最后的结论是，几乎没有经验证据支持系统性关系，这一结果在汇率、时间段和预期通货膨胀衡量标准方面都是稳健的。
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.