|Author's Email Address
||This thesis had been viewed 5360 times. Download 420 times.|
|Type of Document
||The long-run relationship between real exchange rates and real interest differentials— The application of a Band-pass filter.|
|Date of Defense
||Real exchange rates and interest rate differential
Unit root test
||The purpose of this paper is to apply the method of band-pass filtering to extract medium and low frequency information from raw data, and then applied the extracted data to examine the long-term relationships of real exchange rates and interest rate differentials.|
Both monthly and quarterly data over 1974～2012 are applied. Our empirical results show that data after band-pass filtering improved drastically based on unit root tests, Johansen’s cointegration test and error-correction estimation, compared to raw data.
Our evidence indicated that it is the interference of high frequency part in the raw data leading to the discrepancy of the theoretical predictions on long-term real exchange rates and interest rate differentials.
||Ming-Shann Tsai - chair|
Shu-Ling Chiang - co-chair
Jyh-Lin Wu - advisor
indicate access worldwide|
|Date of Submission