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.
| ISBN: | 9783790810813 |
| Publication date: | 15th January 1998 |
| Author: | SvenMorten Mentzel |
| Publisher: | Physica an imprint of Physica-Verlag HD |
| Format: | Paperback |
| Pagination: | 109 pages |
| Series: | Contributions to Economics |
| Genres: |
International economics Economic theory and philosophy |
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.
Real Exchange Rate Movements features in the following genres: International economics, Economic theory and philosophy
Real Exchange Rate Movements is available in Paperback
Real Exchange Rate Movements was written by SvenMorten Mentzel and published by Physica an imprint of Physica-Verlag HD
Real Exchange Rate Movements has 109 pages
Yes it is part of Contributions to Economics series