Document Type
Paper
Publication Date
2-1-1986
Published In
OECD Economics Department Working Papers
Abstract
The bivariate relationship between real exchange rates and the real long-term interest rate differential has been investigated in a number of recent studies. By exchange-rate-equation standards, this specification does a relatively good job of tracking the historical movements in the dollar-Deutschemark and the dollar-yen bilateral exchange rates, and the dollar effective exchange rate; but does a poor job for the dollar-sterling rate. This paper extends the analysis to 18 OECD countries, in bilateral as well as effective terms. Results from earlier studies are confirmed, but in general the estimation results are sufficiently mixed to suggest that the absence of any risk premia variables may be an important omission.
Recommended Citation
D. T. Coe and Stephen S. Golub.
(1986).
"Exchange Rates And Real Long-Term Interest-Rate Differentials: Evidence For Eighteen Oecd Countries".
OECD Economics Department Working Papers.
Issue 28.
DOI: 10.1787/407414641637
https://works.swarthmore.edu/fac-economics/375
Comments
This work is freely available courtesy of OECD Publishing and was originally published the OECD iLibrary as DOI 10.1787/407414641637.