期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2007
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：Although the real exchange rate - real interest rate (RERI) relationship is
central to most open economy macroeconomic models, empirical support
for the relationship is generally found to be rather weak. In this paper we
reinvestigate the RERI relationship using bilateral real exchange rate data
spanning the period 1978 to 1997. We propose an alternative way of investi-
gating the relationship using the present value VAR-based test of Campbell
and Shiller (1987). Our empirical results provide robust evidence that the
RERI relationship is economically signi.cant and that the real interest rate
di¡èerential is a reasonable approximation of the expected rate of depreciation
over longer horizons. Although we report a statistical rejection of cross equa-
tion restrictions, this can largely be ascribed to the fact that excess returns
on a currency have a signi.cant degree of medium-run predictability, rather
than to a rejection of the RERI. Our .ndings corroborate Baxter.s (1994)
substantive conclusion that there is an important link between real exchange
rates and real interest rates at business cycle frequencies.
关键词：Real Exchange Rates; Real Interest Rates; Present Value Model.
