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- Author: Sven-Morten Mentzel
- Publisher: Physica Verlag
- Year: 1998
- Pages: 109
- ISBN-10: 3790810819
- ISBN-13: 9783790810813
- Format: 15.6 x 23.4 x 0.7 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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Description
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.
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- Author: Sven-Morten Mentzel
- Publisher: Physica Verlag
- Year: 1998
- Pages: 109
- ISBN-10: 3790810819
- ISBN-13: 9783790810813
- Format: 15.6 x 23.4 x 0.7 cm, minkšti viršeliai
- Language: English English
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.
Reviews