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Modelling real exchange rate behaviour: a cross-country study

  • Ashok Parikh
  • Geoffrey Williams

The paper examines the behaviour of bilateral real exchange rates between Germany and fourteen major economies for the period January 1972 to December 1994. Time series techniques are used to consider a number of hypotheses including whether the real exchange rate is mean reverting; whether deviations follow a stable time series process; whether the underlying process can be modelled adequately and whether there is any evidence of risk premia. Evidence is provided that relationships of these sort can indeed be established for a selection of economies and that despite economic policy directed towards exchange rate stability, significant risk premia are present in the bilateral real exchange rates examined.

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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 8 (1998)
Issue (Month): 6 ()
Pages: 577-587

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Handle: RePEc:taf:apfiec:v:8:y:1998:i:6:p:577-587
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