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Study the relationship between real exchange rate and interest rate differential – United States and Sweden
University of Skövde, School of Technology and Society.
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
Skövde: Institutionen för teknik och samhälle , 2007. , 35 p.
Keyword [en]
Exchange rate, interest rate differentials, unit root, co-integration, error correction model and forecast.
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-83OAI: oai:DiVA.org:his-83DiVA: diva2:3242
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2007-06-19 Created: 2007-06-19 Last updated: 2010-02-17

Open Access in DiVA

fulltext(338 kB)781 downloads
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File name FULLTEXT01.pdfFile size 338 kBChecksum SHA-1
dbed29438c4c1d3a3554bcc3d736aba6f10a993348d25f3bfca7e886ed0094107182a9a9
Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf