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Modelling the US/UK real exchange rate-real interest rate differential relation: A multivariate regime switching approach

Kanas, Angelos (2005) Modelling the US/UK real exchange rate-real interest rate differential relation: A multivariate regime switching approach. Manchester School, 73 (2). pp. 123-140. ISSN 1463-6786. (doi:10.1111/j.1467-9957.2005.00439.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1111/j.1467-9957.2005.00439.x

Abstract

This paper investigates the empirical link between the US/UK real exchange rate and real interest differential for the period 1959-2002, using a bivariate Markov switching vector autoregression model. We find strong evidence of volatility regime switching in the US/UK real exchange rate-real interest differential relation. There is also evidence of a regime-dependent dynamic link. These findings indicate that allowing for multivariate regime switching can reconcile theoretical models of exchange rates which predict a strong link between real exchange rates and the real interest differential, and previous empirical evidence which failed to uncover such a link. © Blackwell Publishing Ltd and The University of Manchester, 2005.

Item Type: Article
DOI/Identification number: 10.1111/j.1467-9957.2005.00439.x
Additional information: Unmapped bibliographic data: AD - University of Crete, Greece [Field not mapped to EPrints] JA - Manchester Sch. [Field not mapped to EPrints]
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 12:05 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41135 (The current URI for this page, for reference purposes)
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