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2000-06-01Buch DOI: 10.18452/3390
Fractional Cointegration and Real Exchange Rates
dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:50:17Z
dc.date.available2017-06-15T20:50:17Z
dc.date.created2005-09-29
dc.date.issued2000-06-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4042
dc.description.abstractThis paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be integrated of order 1, their long-run relationship might have a fractionally cointegrated structure. This means that mean reversion occurs, consistently with the findings of other studies. However, it also indicates, in contrast to such studies, that the cointegrating relationship possesses long memory. In other words, the error correction term responds slowly to shocks, implying that deviations from equilibrium are long-lived. It appears that only a combination of real and monetary variables can accurately track down the movements of real exchange rates.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectfractional integrationeng
dc.subjectfractional cointegrationeng
dc.subjectreal exchange rateseng
dc.subject.ddc330 Wirtschaft
dc.titleFractional Cointegration and Real Exchange Rates
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10047956
dc.identifier.doihttp://dx.doi.org/10.18452/3390
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2000
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2000,69

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