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Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
CESifo Working Paper No. 894
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegrationbased methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using bilateral real exchange rate data spanning the period 1978 to 1997. We first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the relationship. We demonstrate that the failure of earlier analyses to detect a stationary real interest rate is largely due to the low power of the tests employed.
Schlagwörter: 
real exchange rates
real interest rates
cointegration
JEL: 
E43
F31
F41
Dokumentart: 
Working Paper
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