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dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alaña, Luis A.en_US
dc.date.accessioned2012-09-07T15:40:35Z-
dc.date.available2012-09-07T15:40:35Z-
dc.date.issued2000en_US
dc.identifier.piurn:nbn:de:kobv:11-10047956en_US
dc.identifier.urihttp://hdl.handle.net/10419/62239-
dc.description.abstractThis paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be integrated of order 1, their long-run relationship might have a fractionally cointegrated structure. This means that mean reversion occurs, consistently with the findings of other studies. However, it also indicates, in contrast to such studies, that the cointegrating relationship possesses long memory. In other words, the error correction term responds slowly to shocks, implying that deviations from equilibrium are long-lived. It appears that only a combination of real and monetary variables can accurately track down the movements of real exchange rates.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,69en_US
dc.subject.jelC22en_US
dc.subject.jelC32en_US
dc.subject.jelF30en_US
dc.subject.jelF41en_US
dc.subject.ddc330en_US
dc.subject.keywordfractional integrationen_US
dc.subject.keywordfractional cointegrationen_US
dc.subject.keywordreal exchange ratesen_US
dc.titleFractional cointegration and real exchange ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn723785708en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200069-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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