Hidden Bibliographic Details
| Other authors / contributors: | Razzak, Weshah.
International Monetary Fund. Western Hemisphere Department.
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| ISBN: | 128203538X
9781282035386
9781451901344
1451901348
1452703809
9781452703800
9786613796899
6613796891
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| Notes: | Includes bibliographical references (pages 18-21).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | The objective of this paper is not to review the literature on the relationship between nominal exchange rates and nominal interest rate differentials. However, we reexamine important and often disputed theoretical and empirical issues. We provide a model that links the level of the nominal exchange rate to nominal interest rate differentials under the assumptions of rational expectations, ex-ante purchasing power parity, and with the interest rate determined in the bond rather than in the money market. We emphasize issues such as the choice of the interest rate in the exchange rate determination model, correlation, unit roots, cointegration, common cycles and stability using monthly data from 1980-1997 for the exchange rates between the U.S. dollar and the following currencies: Deutsche mark (DM), British pound (GBP), Japanese yen (YEN), and the Canadian dollar (CAD).
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| Other form: | Print version: Nadal-De Simone, Francisco. Nominal exchange rates and nominal interest rate differentials. [Washington, D.C.] : International Monetary Fund, Western Hemisphere Department, ©1999
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| Standard no.: | 10.5089/9781451901344.001
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