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
基金：
英国经济与社会研究理事会;
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.
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页码：593 / 603
页数：11
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