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Study the relationship between real exchange rate and interest rate differential – United States and Sweden
Högskolan i Skövde, Institutionen för teknik och samhälle.
2007 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.

sted, utgiver, år, opplag, sider
Skövde: Institutionen för teknik och samhälle , 2007. , s. 35
Emneord [en]
Exchange rate, interest rate differentials, unit root, co-integration, error correction model and forecast.
HSV kategori
Identifikatorer
URN: urn:nbn:se:his:diva-83OAI: oai:DiVA.org:his-83DiVA, id: diva2:3242
Presentation
(engelsk)
Uppsök
Social and Behavioural Science, Law
Veileder
Examiner
Tilgjengelig fra: 2007-06-19 Laget: 2007-06-19 Sist oppdatert: 2010-02-17

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