Currency Fluctuations vs. Interest and Inflation Differentials: Does the Double Equality Hold ?

Jean-Christian Lambelet

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

Abstract: Combining, as it does, three fundamental propositions ( uncovered interest rate parity, relative PPP, international equalization of the real return on capital), the double equality is found to hold in the long run with a striking degree of precision and reability when tested by means of a sample of 18 industrialized OECD countries over the 1976-1994 period.

Keywords: exchange rates; interest differentials; inflation differentials; relative PPP; uncovered interest parity; real interest rate equalization; currency market equilibrium; international investment strategies; international economic competitiveness; monetary policy; Swiss economy (search for similar items in EconPapers)
JEL-codes: E4 E5 F2 F3 (search for similar items in EconPapers)
Pages: 38 pages
Date: 1996-02
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:lau:crdeep:9607

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