Is there a relationship between real exchange rate movements and the output cycle?

被引：1

作者：

Mills, TC ^{[1
]}

Pentecost, EJ ^{[1
]}

机构：

[1] Univ Loughborough, Dept Econ, Loughborough LE11 3TU, Leics, England

来源：

ECONOMIC MODELLING | 2003年 / 20卷 / 03期

关键词：

band pass filters; business cycles; real exchange rate;

D O I：

10.1016/S0264-9993(01)00102-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the cyclical relationships between UK and US output and the real dollar-sterling exchange rate over the floating rate period from 1973 to 1999. We find that innovations to UK and US output influence the real exchange rate with 7-quarter and 13-quarter delays, respectively, before the maximum response is felt, with innovations in the real exchange rate having a much smaller effect on UK and US output. (C) 2002 Elsevier Science BY. All rights reserved.

引用

页码：593 / 603

页数：11

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