期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2008
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：In this paper we empirically examine the relationship between the real exchange rate and
real interest rate differentials using recent econometric methods robust to potential
structural breaks. Generally, our study provides evidence of this relationship in the long-run
context. More specifically, we first focus on the UK-US relationship, and interestingly find
limited evidence of this long-run relationship using traditional methods. But when an
approach robust to endogenously determined structural breaks is employed, we find
evidence that the real interest rate differential is an important determinant of the real
exchange rate. Secondly, in order to investigate the relevance of structural shifts in a more
global context, we carry out multiple country analysis. While providing evidence of this
long-run relationship, European data suggest that the presence of structural breaks is not
very common across countries and is indeed country-specific.
