Fundamental Determinants of Exchange Rates
Jerome L. Stein, Polly Reynolds Allen, "Fundamental Determinants of Exchange Rates"
Oxford University Press | 1998 | ISBN: 0198293062 | 272 pages | PDF | 2,1 MB
Oxford University Press | 1998 | ISBN: 0198293062 | 272 pages | PDF | 2,1 MB
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."–Peter Clark, International Monetary Fund
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