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    The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate

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    Litsios- Economics-DP-15-19.pdf (896.4Kb)
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    Publication date
    2015
    Author
    Pilbeam, K.
    Litsios, Ioannis
    Keyword
    Exchange rates; Dollar-Pound exchange rate; Intertemporal model; Asset prices; Vector Error Correction Model
    Rights
    © 2015 The Authors. Full-text reproduced with author permission.
    Peer-Reviewed
    Yes
    
    Metadata
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    Abstract
    This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities and domestic and foreign real money balances in order to examine the determination of the real exchange rate in the long-run. The model is tested empirically using data from the UK and the USA. The results show that all the coefficients of the model are right signed and significant and consequently financial assets may play a significant role in the determination of the real exchange rate.
    URI
    http://hdl.handle.net/10454/10492
    Version
    Published version
    Citation
    Pilbeam K and Litsios I (2015) The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate. Report No. 15/19. London, UK: Department of Economics, City University London.
    Link to publisher’s version
    http://openaccess.city.ac.uk/id/eprint/14075
    Type
    Report
    Collections
    Management and Law Publications

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