EconPapers    
Economics at your fingertips  
 

Fundamental determinants of the long run real exchange rate: The case of Norway

Hilde Bjørnland () and Håvard Hungnes

Discussion Papers from Statistics Norway, Research Department

Abstract: Modelling the Norwegian exchange rate against a basket of currencies, we find a robust long-term link between the real exchange rate and real interest differential that is consistent with purchasing power parity (PPP) and uncovered interest parity (UIP). However, PPP alone is rejected. These findings are confirmed focusing on the Norwegian bilateral exchange rate with Germany and (possibly) Sweden, but rejected against the UK and the US. We argue that rejection of bilateral relationships may result from idiosyncratic shocks in the different countries that may be negligible when modelling against a basket of currencies.

Keywords: Purchasing power parity; uncovered interest parity; cointegration VAR. (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2002-08
New Economics Papers: this item is included in nep-fin and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.ssb.no/a/publikasjoner/pdf/DP/dp-326.pdf (application/pdf)

Related works:
Working Paper: Fundamental determinants of the long run real exchange rate: The case of Norway (2003) Downloads
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:ssb:dispap:326

Access Statistics for this paper

More papers in Discussion Papers from Statistics Norway, Research Department P.O.Box 8131 Dep, N-0033 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by L Maasø ().

 
Page updated 2025-04-01
Handle: RePEc:ssb:dispap:326