Study the relationship between real exchange rate and interest rate differential – United States and Sweden

Description

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.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-83

Tags

Exchange rate

interest rate differentials

unit root

co-integration

error correction model and forecast.

Economics

Nationalekonomi

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:his-83
Date	January 2007
Creators	Wang, Zhiyuan
Publisher	Högskolan i Skövde, Institutionen för teknik och samhälle, Skövde : Institutionen för teknik och samhälle
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess