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Real Exchange Rate Movements

An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates

  • Book
  • © 1998

Overview

Authors:
  1. Sven-Morten Mentzel

    1. Emmendingen, Germany

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Part of the book series: Contributions to Economics (CE)

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Table of contents (7 chapters)

  1. Front Matter

    Pages I-IX
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  2. Motivation

    • Sven-Morten Mentzel
    Pages 1-13

  3. The Two-Country Overshooting Model and Construction of Variables

    • Sven-Morten Mentzel
    Pages 15-16

  4. Tests for an Autoregressive Unit Root in the Variables of the Overshooting Model

    • Sven-Morten Mentzel
    Pages 17-22

  5. The Cointegration Analysis for the Case of Deterministic Cointegration and Tests with Respect to the Parameters of the Error Correction Model

    • Sven-Morten Mentzel
    Pages 23-44

  6. Forecasting

    • Sven-Morten Mentzel
    Pages 45-54

  7. The Application of the Factor Model

    • Sven-Morten Mentzel
    Pages 55-70

  8. Results

    • Sven-Morten Mentzel
    Pages 71-76

  9. Back Matter

    Pages 77-109
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Keywords

About this book

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.

Authors and Affiliations

  • Emmendingen, Germany

    Sven-Morten Mentzel

Bibliographic Information

  • Book Title: Real Exchange Rate Movements

  • Book Subtitle: An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates

  • Authors: Sven-Morten Mentzel

  • Series Title: Contributions to Economics

  • DOI: https://doi.org/10.1007/978-3-642-59017-7

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1998

  • Softcover ISBN: 978-3-7908-1081-3Published: 15 January 1998

  • eBook ISBN: 978-3-642-59017-7Published: 06 December 2012

  • Series ISSN: 1431-1933

  • Series E-ISSN: 2197-7178

  • Edition Number: 1

  • Number of Pages: X, 109

  • Topics: International Economics, Economic Theory/Quantitative Economics/Mathematical Methods

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