The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study

Ronald MacDonald and Jun Nagayasu

IMF Staff Papers, 2000, vol. 47, issue 1, 5

Abstract: This paper empirically examines the long-run relationship between real exchange rates and real interest rate (RERI) differentials over the recent floating exchange rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. In contrast to much other research on the RERI model, we find evidence of statistically significant long-run relationships and plausible point estimates. The failure of most other researchers to establish such relationships may therefore reflect the estimation method used rather than any inherent deficiency in the real exchange rate-real interest rate relationship. Copyright 2000, International Monetary Fund

JEL-codes: F31 (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (84)

Downloads: (external link)
http://www.imf.org/external/Pubs/FT/staffp/2000/00-01/pdf/macdonal.pdf main text (application/pdf)
http://www.imf.org/external/Pubs/FT/staffp/2000/00-01/macdonald.csv supplementary data (text/plain)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study (1999)
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:pal:imfstp:v:47:y:2000:i:1:p:5

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41308/PS2

Access Statistics for this article

More articles in IMF Staff Papers from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().