𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Real exchange rates and target interest rates in a simple VAR model

✍ Scribed by AndréVarella Mollick

Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
248 KB
Volume
2
Category
Article
ISSN
1617-982X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

International real interest rate differe
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
✍ Mark P. Taylor; Lucio Sarno 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 115 KB 👁 1 views

## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the long‐run absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.

Estimation and testing of ARFIMA models
Estimation and testing of ARFIMA models in the real exchange rate
✍ L.A. Gil-Alana; J. Toro 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 172 KB 👁 1 views

## Abstract The Purchasing Power Parity (PPP) hypothesis is one of the most important theoretical relationships in international economics. However, its empirical support remains controversial. We propose an alternative way of modelling the real exchange rate in five industrialized countries in rel

Structural, VAR and BVAR models of excha
Structural, VAR and BVAR models of exchange rate determination: A comparison of their forecasting performance
✍ Nicholas Sarantis; Chris Stewart 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 997 KB

This paper compares the out-of-sample forecasting accuracy of a wide class of structural, BVAR and VAR models for major sterling exchange rates over different forecast horizons. As representative structural models we employ a portfolio balance model and a modified uncovered interest parity model, wi

Covered arbitrage in foreign exchange ma
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment
✍ Batlin, Carl A. 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 110 KB 👁 1 views

In a recent issue of this Journal, 1 Dilip Ghosh confuses the concept of a (known) forward interest rate with that of a (random) future short-term interest rate. As a result, both of his main conclusions-that combining interest rate forwards with foreign exchange (FX) forwards produces a new version