Year: 2013
Author: Beckmann, Joscha, Belke, Ansgar, Czudaj, Robert
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 2 : pp. 213–231
Abstract
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. (E31, F31)
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.46.2.213
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 2 : pp. 213–231
Published online: 2013-06
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 19