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Interest Rates and the Exchange Rate: Some international Evidence

  • Monadjemi, M. S.
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    This paper attempts to examine the behaviour of the exchange rate in response to a change in interest rate differential. The empirical results of the study based on mounthly data from Britain, Canada, Germany and Japan provide support for Dornbusch's "overshooting" exchange rate in the short-run. However, in contrast to Dornbusch's proposition, thethe hypothesis of purchasing power parity is not empirically supported and the real exchange rates appeared to be non-stationary in all four cases.

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    Paper provided by New South Wales - School of Economics in its series Papers with number 97/9.

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    Length: 17 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:fth:nesowa:97/9
    Contact details of provider: Postal: THE UNIVERSITY OF NEW SOUTH WALES, SCHOOL OF ECONOMICS, P.O.B. 1 KENSINGTON, NEW SOUTH WALES 2033 AUSTRALIA.
    Phone: (+61)-2-9385-3380
    Fax: +61)-2- 9313- 6337
    Web page: http://www.economics.unsw.edu.au/
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