The real uncovered interest parity: The case of Canada and the USA

被引：2
|
作者：
Mylonidis, Nikolaos [1 ]
Paleologou, Suzanna-Maria [1 ]
机构：
[1] Univ Ioannina, Dept Econ, GR-45110 Ioannina, Greece
来源：
JOURNAL OF POLICY MODELING | 2011年 / 33卷 / 02期
关键词：
Real exchange rate; Real interest rates; Cyclically adjusted deficits; Cointegration; EXCHANGE-RATES; COINTEGRATING RANK; INTEREST DIFFERENTIALS; PPP; GERMANY; JAPAN; UIP;
D O I：
10.1016/j.jpolmod.2010.11.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this paper is to re-assess the real uncovered interest parity (RUIP) in the light of including domestic demand shocks as possible determinants of the real exchange rate. We use annual data for two close trading partners, namely Canada and the USA. Using cointegration analysis we find evidence in favour of RUIP. In addition, empirical support is provided to show that discretionary fiscal policy actions have a spillover effect to the real exchange rate via real interest rates. (C) 2010 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.
引用
收藏
页码：255 / 267
页数：13
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