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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alaña, Luis A.en
dc.date.accessioned2012-09-07T15:40:35Z-
dc.date.available2012-09-07T15:40:35Z-
dc.date.issued2000-
dc.identifier.piurn:nbn:de:kobv:11-10047956en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2000,69en
dc.subject.jelC22en
dc.subject.jelC32en
dc.subject.jelF30en
dc.subject.jelF41en
dc.subject.ddc330en
dc.subject.keywordfractional integrationen
dc.subject.keywordfractional cointegrationen
dc.subject.keywordreal exchange ratesen
dc.titleFractional cointegration and real exchange rates-
dc.typeWorking Paperen
dc.identifier.ppn723785708en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200069en

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