The real exchange rate in small, open, developed economies: Evidence from cointegration analysis

Economic Record

Volumn 80, Issue 248, 2004, Pages 76-88

  Bagchi, Debabrata ^a   Chortareas, Georgios E ^a   Miller, Stephen M ^a  

^a UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; INTEREST RATE; REAL EXCHANGE RATE; TERMS OF TRADE; EXCHANGE RATE; INVESTMENT; PRICE DETERMINATION; PROFITABILITY;

EID: 1842688358     PISSN: 00130249     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-4932.2004.00126.x     Document Type: Article

References (51)

1. Ahking, F.W. and Miller, S.M. (1987), A Comparison of the Stochastic Processes of Structural and Time-Series Exchange-Rate Models. The Review of Economics and Statistics LXIX, 496-502.
2. Amano, R.A. and van Norden, S. (1995), Terms of Trade and Real Exchange Rates: the Canadian Evidence. Journal of International Money and Finance 14, 83-104.
3. Baxter, M. (1994), Real Exchange Rates and Real Interest Differentials. Journal of Monetary Economics 33, 5-37.
4. Blundell-Wignall, A. and Brown, F, (1991), 'Increasing Financial Market Integration: Real Exchange Rates and Macroeconomic Adjustment (Working Paper)'. Organization for Economic Cooperation and Development, Paris.
5. Campbell, J.Y. and Clarida, R.H. (1987), The Dollar and Real Interest Rates. Carnegie-Rochester Conference Series on Public Policy 27, 103-40.
6. Chen, Y.-C. and Rogoff, K. (2002), 'Commodity Currencies and Empirical Exchange Rate Puzzles (Working Paper)', WP/02/27. International Monetary Fund, Washington, DC.
7. Chinn, M. (1991), Some Linear and Nonlinear Thoughts on Exchange Rates. Journal of International Money and Finance 10, 214-30.
8. Coughlin, C.C. and Koedijk, K. (1990), 'What do we Know about the Long-Run Real Exchange Rate?' Federal Reserve Bank of St. Louis Review January/February, 36-48.
9. Edison, H.J. and Pauls, D.B. (1993), A Re-Assessment of the Relationship Between Real Exchange Rates and Real Interest Rates: 1974-90. Journal of Monetary Economics 31, 165-87.
10. Edwards, S. (1989), Real Exchange Rates, Devaluation and Adjustment: Exchange Rate Policy in Developing Countries, Cambridge MA: The MIT Press.
11. Enders, W. (1995), Applied Econometric Time Series. John Wiley and Sons, Inc., New York.
12. Engel, C. (1993), Real Exchange Rates and Relative Prices: An Empirical Investigation. Journal of Monetary Economics 32, 35-50.
13. Engel, C. (1999), Accounting for U.S. Real Exchange Rate Changes. Journal of Political Economy 107, 507-38.
14. Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica 55, 251-76.
15. Faruqee, H. (1995), 'Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective', International Monetary Fund Staff Papers 42, 80-107.
16. Frankel, J. (1979), On the Mark: A Theory of Floating Exchange Rates based on Real Interest Differentials. American Economic Review 69, 610-22.
17. Granger, C.W.J. (1983), 'Co-Integrated Variables and Error Correcting Models'. Discussion Paper No 83-13. University of California, San Diego.
18. Gruen, D.W.R. and Wilkinson, J. (1994), Australia's Real Exchange Rate - Is It Explained by the Terms of Trade or by Real Interest Differentials?. Economic Record 70, 204-19.
19. Hansen, E. and Hutchison, M. (1996), Exchange Rates, Non-Traded Goods, and the Terms of Trade: An Empirical Application for New Zealand, Oxford Bulletin of Economics and Statistics 59, 43-67.
20. Harris, R.I.D. (1995), Using Cointegration Analysis in Econometric Modeling. Prentice Hall/Harvester Wheatseaf, London.
21. Hatanaka, M. (1996), Time-Series-Based Econometrics. Oxford University Press, New York.
22. Holden, D. and Perman R. (1994), Unit Roots and Cointegration for the Economist'. In: Rao, B.B. (ed.) Cointegration for the Applied Economist. St. Martin's Press, London Macmillan Press, New York.
23. Hooper, P. and Morton, J. (1982), Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination. Journal of International Money and Finance 1, 39-56.
24. Huizinga, J. (1987), An Empirical Investigation of the Long-Run Behavior of Real Exchange Rates. Carnegie-Rochester Conference Series on Public Policy 27, 149-214.
25. International Monetary Fund (1996), World Economic Outlook, International Monetary Fund, Washington D.C., May.
26. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control 12, 231-54.
27. Johansen, S. (1992), Determination of the Cointegration Rank in the Presence of a Linear Trend. Oxford Bulletin of Economics and Statistics 54, 383-97.
28. Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics 52, 169-210.
29. Johansen, S. and Nielson, B. (1993), 'Asymptotics for Cointegration Rank Tests in the Presence of Intervention Dummies (Working Paper)', University of Copenhagen Institute of Mathematical Statistics.
30. Kawai, M. and Ohara, H. (1997), Nonstationarity of Real Exchange Rates in the G7 Countries: Are they Cointegrated with Real Variables? Journal of the Japan and International Economies 11, 523-47.
31. Krumm, K.L. (1993), A Medium-Term Framework for Analyzing the Real Exchange Rate, with Applications to the Philippines and Tanzania. The World Bank Economic Review 7, 219-45.
32. MacDonald, R. (1998), What Determines Real Exchange Rates? The Long and the Short of It. Journal of International Financial Markets, Institutions and Money 8, 117-53.
33. MacDonald, R. and Nagayasu, J. (1999), The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study (Working Paper)', WP/99/37, International Monetary Fund, March.
34. MacKinnon, J. (1991), Critical Values for Cointegration Tests'. In: Engle, R. and Granger, C. (eds). Long-Run Economic Relationships: Readings in Cointegration. Oxford University Press, New York.
35. Meese, R.A. (1990), Currency Fluctuations in the Post-Bretton-Woods Era. Journal of Economic Perspectives 4, 117-34.
36. Meese, R.A. and Rogoff, K. (1988), Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period. Journal of Finance XLIII, 933-48.
37. Meltzer, A.H. (1993), Real Exchange Rates: Some Evidence from the Postwar Years, Federal Reserve Bank of St. Louis Review, March/April, 103-117.
38. Mussa, M.M. (1982), A Model of Exchange Rate Dynamics. Journal of Political Economy 90, 74-104.
39. Mussa, M.M. (1990), Exchange Rates in Theory and Reality. Essays in International Finance, no. 179. Princeton University Department of Economics International Finance Section, Princeton, New Jersey (1990 Frank D. Graham Memorial Lecture).
40. Neary, P. (1988), Determinants of the Equilibrium Real Exchange Rate. American Economic Review 78, 210-15.
41. Obstfeld, M. and Rogoff, K. (1996), The Foundations of International Macroeconomics. MIT Press, Cambridge, MA and London.
42. Obstfeld, M. and Rogoff, K. (2000), New Directions for Stochastic Open Economy Models. Journal of International Economics 50, 117-53.
43. Odedokun, M.O. (1997), An Empirical Analysis of the Determinants of the Real Exchange Rate in African Countries. The Journal of International Trade and Economic Development 6, 63-82.
44. Osterwald-Lenum, M. (1992), A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics 54, 461-72.
45. Pantula, S.G. (1989), Testing for Unit Roots in Time Series Data. Econometric Theory 5, 256-71.
46. Sims, C. (1980), Macroeconomics and Reality. Econometrica 48, 1-48.
47. Stein, J.L. (1994), Fundamental Determinants of Real Exchange Rates and Capital Flows and Their Importance for Europe. Economic Notes 23, 367-87.
48. Strauss, J. (1996), The Cointegrating Relationship between Productivity, Real Exchange Rates and Purchasing Power Parity. Journal of Macroeconomics 18, 299-313.
49. Williamson, J. (1994), Estimates of FEERs. In: Williamson, J. (ed.) Estimating Equilibrium Exchange Rates. Institute for International Economics, Washington D.C.
50. Zellner, A. and Palm, F. (1974), Time Series Analysis and Simultaneous Equation Econometric Models. Journal of Econometrics 2, 17-54.
51. Zhou, S. (1995), The Response of the Real Exchange Rates to Various Economic Shocks. Southern Economic Journal 61, 936-54.