Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /

Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /

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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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Main Authors: Mentzel, Sven-Morten. author., SpringerLink (Online service)
Format: Texto biblioteca
Language:eng
Published: Heidelberg : Physica-Verlag HD : Imprint: Physica, 1998
Subjects:Economic theory., International economics., Economics., International Economics., Economic Theory/Quantitative Economics/Mathematical Methods.,
Online Access:http://dx.doi.org/10.1007/978-3-642-59017-7
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spelling KOHA-OAI-TEST:1801282018-07-30T22:59:54ZReal Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates / Mentzel, Sven-Morten. author. SpringerLink (Online service) textHeidelberg : Physica-Verlag HD : Imprint: Physica,1998.engOne 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.A. Motivation -- B. The Two-Country Overshooting Model and Construction of Variables -- C. Tests for an Autoregressive Unit Root in the Variables of the Overshooting Model -- D. The Cointegration Analysis for the Case of Deterministic Cointegration and Tests with Respect to the Parameters of the Error Correction Model -- E. Forecasting -- F. The Application of the Factor Model -- G. Results -- Appendix 1: The Cointegration Analysis for the Case of Stochastic Cointegration -- Appendix 2: The Description of the Data and Their Sources -- Abbreviations -- List of Figures -- List of Tables -- References.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.Economic theory.International economics.Economics.International Economics.Economic Theory/Quantitative Economics/Mathematical Methods.Springer eBookshttp://dx.doi.org/10.1007/978-3-642-59017-7URN:ISBN:9783642590177
institution COLPOS
collection Koha
country México
countrycode MX
component Bibliográfico
access En linea
En linea
databasecode cat-colpos
tag biblioteca
region America del Norte
libraryname Departamento de documentación y biblioteca de COLPOS
language eng
topic Economic theory.
International economics.
Economics.
International Economics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Economic theory.
International economics.
Economics.
International Economics.
Economic Theory/Quantitative Economics/Mathematical Methods.
spellingShingle Economic theory.
International economics.
Economics.
International Economics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Economic theory.
International economics.
Economics.
International Economics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Mentzel, Sven-Morten. author.
SpringerLink (Online service)
Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
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.
format Texto
topic_facet Economic theory.
International economics.
Economics.
International Economics.
Economic Theory/Quantitative Economics/Mathematical Methods.
author Mentzel, Sven-Morten. author.
SpringerLink (Online service)
author_facet Mentzel, Sven-Morten. author.
SpringerLink (Online service)
author_sort Mentzel, Sven-Morten. author.
title Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
title_short Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
title_full Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
title_fullStr Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
title_full_unstemmed Real Exchange Rate Movements [electronic resource] : An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates /
title_sort real exchange rate movements [electronic resource] : an econometric investigation into causes of fluctuations in some dollar real exchange rates /
publisher Heidelberg : Physica-Verlag HD : Imprint: Physica,
publishDate 1998
url http://dx.doi.org/10.1007/978-3-642-59017-7
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AT springerlinkonlineservice realexchangeratemovementselectronicresourceaneconometricinvestigationintocausesoffluctuationsinsomedollarrealexchangerates
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