TY  - UNPD
A1  - Hoffmann, Mathias
A1  - MacDonald, Ronald
T1  - A real differential view of equilibrium real exchange rates and misalignments
T2  - Institut für Kapitalmarktforschung (Frankfurt am Main): CFS working paper series ; No. 2000,08
N2  - This paper examines the interaction of G7 real exchange rates with real output and interest rate differentials. Using cointegration methods, we generally find a link between the real exchange rate and the real interest differential. This finding contrasts with the majority of the extant research on the real exchange rate - real interest rate link. We identify a new measure of the equilibrium exchange rate in terms of the permanent component of the real exchange rate that is consistent with the dynamic equilibrium given by the cointegration relation. Furthermore, the presence of cointegration also allows us to identify real, nominal and transitory disturbances with only minimal identifying restrictions. Our findings suggest that persistent deviations of real exchange rates from their equilibrium value can have feedback effects on the underlying fundamentals, hence altering the equilibrium exchange rate itself. This has important implications for the persistence measures of real exchange rates that are reported elsewhere in the literature.
T3  - CFS working paper series - 2000, 08 
KW  - Equilibrium Exchange Rates
KW  - Cointegration
KW  - Permanent and Transitory Decomposition
KW  - G-7-Staaten
KW  - Kaufkraftparität
KW  - Kaufkraftvergleich
KW  - Konjunktur
KW  - Zinsstruktur
KW  - Zinsstrukturtheorie
KW  - Kointegration
KW  - Geschichte 1978-1997
Y1  - 2000
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4527
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-9721
ER  -