Interest Rates and the Exchange Rate: Some international Evidence

M. S. Monadjemi

Working Papers from New South Wales - School of Economics

Abstract: This paper attempts to examine the behaviour of the exchange rate in response to a change in interest rate differential. The empirical results of the study based on mounthly data from Britain, Canada, Germany and Japan provide support for Dornbusch's "overshooting" exchange rate in the short-run. However, in contrast to Dornbusch's proposition, thethe hypothesis of purchasing power parity is not empirically supported and the real exchange rates appeared to be non-stationary in all four cases.

Keywords: EXCHANGE RATE; INTEREST RATE (search for similar items in EconPapers)
JEL-codes: E4 F31 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:nesowa:97/9

Access Statistics for this paper

More papers in Working Papers from New South Wales - School of Economics THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().