Contributions to Economics: An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates

Mentzel, Sven-Morten

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.

Details

Published by: Physica

Publication Date: 1998-01-15

Format: Paperback

ISBN-13: 9783790810813

DOI: 10.1007/978-3-642-59017-7

Dimensions: 235cm x155cm

Pages: 109