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The U.S. Current Account and Real Effective Dollar Exchange Rates

Listed author(s):
  • Joscha Beckmann


    (University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, 45117 Essen)

  • Ansgar Belke


    (IZA Bonn and University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, 45117 Essen)

  • Robert Czudaj


    (University of Duisburg-Essen, Department of Economics, Chair for Econometrics, 45117 Essen and FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, 45127 Essen)

This study analyzes long-run and short-run dynamics between the current account and the real effective dollar exchange rates from a novel perspective. Applying multivariate cointegration techniques, we first test for a long-run relationship between the real effective dollar exchange rate and the U.S. current account. We then include further macroeconomic factors as an extension. As a next step, we pay particular attention to the evolvement of the coefficients over time based on an estimation of a time varying coefficient approach by means of Kalman filtering.

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Article provided by Credit and Capital Markets in its journal Credit and Capital Markets.

Volume (Year): 46 (2013)
Issue (Month): 2 ()
Pages: 213-232

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Handle: RePEc:kuk:journl:v:46:y:2013:i:2:p:213-232
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