The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate

Description

Yes / This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities and domestic and foreign real money balances in order to examine the determination of the real exchange rate in the long-run. The model is tested empirically using data from the UK and the USA. The results show that all the coefficients of the model are right signed and significant and consequently financial assets may play a significant role in the determination of the real exchange rate.

Links & Downloads

1. Pilbeam K and Litsios I (2015) The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate. Report No. 15/19. London, UK: Department of Economics, City University London.
2. http://hdl.handle.net/10454/10492

Tags

Exchange rates

Dollar-Pound exchange rate

Intertemporal model

Asset prices

Vector Error Correction Model

Additional Fields

Identifer	oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/10492
Date	January 2015
Creators	Pilbeam, K., Litsios, Ioannis
Source Sets	Bradford Scholars
Language	English
Detected Language	English
Type	Report, Published version
Rights	© 2015 The Authors. Full-text reproduced with author permission.
Relation	http://openaccess.city.ac.uk/id/eprint/14075