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Real or monetary? The US/UK real exchange rate, 1921-2002

Kanas, Angelos (2005) Real or monetary? The US/UK real exchange rate, 1921-2002. Journal of International Financial Markets, Institutions and Money, 15 (1). pp. 21-38. ISSN 1042-4431. (doi:10.1016/j.intfin.2004.01.004) (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/10.1016/j.intfin.2004.01.004

Abstract

This paper investigates the empirical link between the real exchange rate and the real interest differential, and the real exchange rate and the real output differential for the UK and the US. We use an extended set of monthly data for the period 1921-2002, which ensures high power of statistical tests, and a vector autoregression which allows for regime switches. In contrast to previous studies, we find evidence of both, a dynamic and a contemporaneous link between real exchange rate changes and the real interest rate differential. The real output differential is not linked with real exchange rate changes. The response of the real exchange rate to real interest differential shocks is much more persistent than its response to a real output differential shock. The results suggest that the real interest rate differential should receive further attention in building real exchange rate models. © 2004 Elsevier B.V. All rights reserved.

Item Type: Article
DOI/Identification number: 10.1016/j.intfin.2004.01.004
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece [Field not mapped to EPrints] AD - Regional Analysis Division, Inst. of Applied/Computational Math., FORTH, Heraklion, Crete, Greece [Field not mapped to EPrints] JA - J. Int. Financ. Mark. Inst. Money [Field not mapped to EPrints]
Uncontrolled keywords: Real exchange rate, Real interest differential, Real output differential, Regime switching
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 12:18 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41139 (The current URI for this page, for reference purposes)
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