The Relationship between Exchange Rates and Interest Rate Differentials: a Wavelet Approach
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- R. Scott Hacker & Hyunjoo Kim Karlsson & Kristofer Månsson, 2012. "The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach," The World Economy, Wiley Blackwell, vol. 35(9), pages 1162-1185, September.
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Cited by:
- Andrieș, Alin Marius & Ihnatov, Iulian & Tiwari, Aviral Kumar, 2014. "Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet," Economic Modelling, Elsevier, vol. 41(C), pages 227-238.
- Hacker, R. Scott & Karlsson, Hyunjoo Kim & Månsson, Kristofer, 2014.
"An investigation of the causal relations between exchange rates and interest rate differentials using wavelets,"
International Review of Economics & Finance,
Elsevier, vol. 29(C), pages 321-329.
- Hacker, Scott & Kim, Hyunjoo & Månsson, Kristofer, 2010. "An Investigation of the Causal Relations between Exchange Rates and Interest Rate Differentials Using Wavelets," Working Paper Series in Economics and Institutions of Innovation 215, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- repec:eee:ecmode:v:67:y:2017:i:c:p:261-274 is not listed on IDEAS
- Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari, 2015. "Exchange Rate and Monetary Fundamentals: Long Run Relationship Revisited," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(1), pages 33-54, March.
- Elena Pelinescu & Delia-Elena Diacona?u, 2015. "The Volatility of Romanian Exchange Rate: A GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 92-99, November.
- Habimana, Olivier, 2017. "The multiscale relationship between exchange rates and fundamentals differentials: Empirical evidence from Scandinavia," MPRA Paper 75956, University Library of Munich, Germany.
- repec:gei:jnlfer:v:1:y:2016:i:2:p:119-133 is not listed on IDEAS
More about this item
Keywords
exchange rates; interest rate differential; uncovered interest parity; monetary approach; small-economy; wavelet analysis;JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-04-17 (All new papers)
- NEP-CBA-2010-04-17 (Central Banking)
- NEP-IFN-2010-04-17 (International Finance)
- NEP-MAC-2010-04-17 (Macroeconomics)
- NEP-MON-2010-04-17 (Monetary Economics)
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