REAL EXCHANGE-RATES AND REAL INTEREST DIFFERENTIALS - HAVE WE MISSED THE BUSINESS-CYCLE RELATIONSHIP

Authors
BAXTER M
Citation
M. Baxter, REAL EXCHANGE-RATES AND REAL INTEREST DIFFERENTIALS - HAVE WE MISSED THE BUSINESS-CYCLE RELATIONSHIP, Journal of monetary economics, 33(1), 1994, pp. 5-37
Citations number
36
Categorie Soggetti
Business Finance",Economics
Journal title
Journal of monetary economics → ACNP
ISSN journal
03043932
Volume
33
Issue
1
Year of publication
1994
Pages
5 - 37
Database
ISI
SICI code
0304-3932(1994)33:1<5:REARID>2.0.ZU;2-R
Abstract
This paper investigates the link between real exchange rates and real interest differentials over the recent floating-rate period. In contra st to earlier econometric studies, we find evidence of a relationship, with the strongest link at trend and business-cycle frequencies, Beca use these prior studies focused on high-frequency components of the da ta, they found no statistical link between real exchange rates and rea l interest differentials.