Currency Fluctuations vs. Interest and Inflation Differentials : Does the Double Equality Hold ?
AbstractCombining, as it does, three fundamental propositions ( uncovered interest rate parity, relative PPP, international equalization of the real return on capital), the double equality is found to hold in the long run with a striking degree of precision and reability when tested by means of a sample of 18 industrialized OECD countries over the 1976-1994 period.
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Bibliographic InfoPaper provided by Université de Lausanne, Faculté des HEC, DEEP in its series Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) with number 9607.
Length: 38 pages
Date of creation: Feb 1996
Date of revision:
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Postal: Université de Lausanne, Faculté des HEC, DEEP, Internef, CH-1015 Lausanne
Phone: ++41 21 692.33.64
Fax: ++41 21 692.33.05
Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
More information through EDIRC
exchange rates; interest differentials; inflation differentials; relative PPP; uncovered interest parity; real interest rate equalization; currency market equilibrium; international investment strategies; international economic competitiveness; monetary policy; Swiss economy;
Find related papers by JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
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- Jean-Christian Lambelet & Alexander Mihailov, 2005.
"The Triple-Parity Law,"
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604, University of Essex, Department of Economics.
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