English, Article, Journal or magazine article edition: Exchange Rates and Real Long-Term Interest-Rate Differentials: Evidence for Eighteen OECD Countries David T. Coe; Stephen S. Golub

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Exchange Rates and Real Long-Term Interest-Rate Differentials: Evidence for Eighteen OECD Countries
Author
  • David T. Coe
  • Stephen S. Golub
Physical Description
  • preprint
Notes
  • The bivariate relationship between real exchange rates and the real long-term interest rate differential has been investigated in a number of recent studies. By exchange-rate-equation standards, this specification does a relatively good job of tracking the historical movements in the dollar-Deutschemark and the dollar-yen bilateral exchange rates, and the dollar effective exchange rate; but does a poor job for the dollar-sterling rate. This paper extends the analysis to 18 OECD countries, in bilateral as well as effective terms. Results from earlier studies are confirmed, but in general the estimation results are sufficiently mixed to suggest that the absence of any risk premia variables may be an important omission ... La relation entre les deux variables, taux de change réels et variations du taux d'intérêt réel à long terme, a été étudiée dans un certain nombre d'études récentes. Comparée aux équations sur les taux de change, cette spécification permet de retracer assez valablement les mouvements dans le temps des taux de change bilatéraux du dollar par rapport au deutschemark et du dollar par rapport au yen ; il en va toutefois différemment en ce qui concerne le taux du dollar par rapport à la livre sterling. Le présent document élargit cette analyse en la faisant porter sur 18 pays membres de l'OCDE et prend en compte tant les taux de change bilatéraux que les taux de change effectifs. Les résultats obtenus confirment les études antérieures, mais les estimations sont dans l'ensemble suffisamment erratiques pour suggérer que l'absence de toute variable de primes de risque constitue peut-être une omission importante ...
  • RePEc:oec:ecoaaa:28-en
Language
  • English
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