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标题：Structural breaks in the real exchange rate and real interest rate relationship
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作者：Joseph P. Byrne ; Jun Nagayasu
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.
关键词：Real exchange rate; real interest rate differential; nonstationarity; endogenously determined structural breaks; trace tests