© 1998

Real Exchange Rate Movements

An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates


Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages I-IX
  2. Sven-Morten Mentzel
    Pages 1-13
  3. Sven-Morten Mentzel
    Pages 45-54
  4. Sven-Morten Mentzel
    Pages 55-70
  5. Sven-Morten Mentzel
    Pages 71-76
  6. Back Matter
    Pages 77-109

About this book


One aim of this book is to examine the causes of fluctuations in the mark/dollar, pound/dollar, and yen/dollar real exchange rates for the period 1972-1994 with quarterly data to determine appropriate policy recommendations to reduce these movements. A second aim is to investigate whether the three real exchange rates are covariance-stationary or not and to which extent they are covariance-stationary, respectively. These aims are reached by using a two-country overshooting model for real exchange rates with real government expenditure and by applying Johansen's maximum likelihood cointegration procedure and a factor model of Gonzalo and Granger to this model.


Außenwirtschaft Geldpolitk Makroökonomik cointegration econometrics economics exchange rates forecasting foreign exchange rate theory foreign trade integration international economics macroeconomics monetary policy Ökonometrie

Authors and affiliations

  1. 1.EmmendingenGermany

Bibliographic information

  • Book Title Real Exchange Rate Movements
  • Book Subtitle An Econometric Investigation into Causes of Fluctuations in Some Dollar Real Exchange Rates
  • Authors Sven-Morten Mentzel
  • Series Title Contributions to Economics
  • DOI
  • Copyright Information Physica-Verlag Heidelberg 1998
  • Publisher Name Physica, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-7908-1081-3
  • eBook ISBN 978-3-642-59017-7
  • Series ISSN 1431-1933
  • Edition Number 1
  • Number of Pages X, 109
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics International Economics
    Economic Theory/Quantitative Economics/Mathematical Methods
  • Buy this book on publisher's site
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