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Real exchange rate movements : an econometric investigation into causes of fluctuations in some dollar real exchange rates / Sven-Morten Mentzel.
LIBRA HG3851 .M466 1998
Available from offsite location
- Format:
- Book
- Author/Creator:
- Mentzel, Sven-Morten, 1962-
- Series:
- Contributions to economics
- Language:
- English
- Subjects (All):
- Foreign exchange rates.
- Dollar, American.
- Physical Description:
- vii, 109 pages : illustrations ; 24 cm.
- Place of Publication:
- Heidelberg ; New York : Physica-Verlag, [1998]
- Summary:
- 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.
- Notes:
- Includes bibliographical references.
- ISBN:
- 3790810819
- OCLC:
- 38106663
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