Arbeitspapier
Fundamental determinants of the long run real exchange rate: The case of Norway
Modelling the Norwegian exchange rate against a basket of currencies, we find a robust long-term link between the real exchange rate and real interest differential that is consistent with purchasing power parity (PPP) and uncovered interest parity (UIP). However, PPP alone is rejected. These findings are confirmed focusing on the Norwegian bilateral exchange rate with Germany and (possibly) Sweden, but rejected against the UK and the US. We argue that rejection of bilateral relationships may result from idiosyncratic shocks in the different countries that may be negligible when modelling against a basket of currencies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2002,23
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Foreign Exchange
- Thema
-
Purchasing power parity
uncovered interest parity
cointegration VAR
Kaufkraft
Zinsparität
Kointegration
Schweden
Norwegen
Deutschland
Großbritannien
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bjørnland, Hilde C.
Hungnes, Håvard
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Bjørnland, Hilde C.
- Hungnes, Håvard
- University of Oslo, Department of Economics
Entstanden
- 2002
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