long-term determinants of the real exchange rate euro-dollar exchange rate
Since 1999, the launch of euro undoubtedly threats the dominant position of the U.S. dollar. This study attempts to empirically examine link between the long-term forces driving the real euro-dollar exchange rate. In literature review, it provides consistent theoretical frameworks proposed by Purcha...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22054/ |
| _version_ | 1848792348590342144 |
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| author | Ma, Xiao |
| author_facet | Ma, Xiao |
| author_sort | Ma, Xiao |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Since 1999, the launch of euro undoubtedly threats the dominant position of the U.S. dollar. This study attempts to empirically examine link between the long-term forces driving the real euro-dollar exchange rate. In literature review, it provides consistent theoretical frameworks proposed by Purchasing Power Parity, Balassa-Samuelson effect, Uncovered Interest Parity and Balance of Payment. Under theoretical frameworks and empirical review, five fundamental determinants are identified as real relative interest rate, productivity differentials, real oil price, trade balance and government control, which is a unquantifiable determinant, to generate real euro-dollar exchange rate movements. Time-series data covered the period of January 1999 to March 2008. We apply the method of Augmented Dickey-Fuller and Phillips-Perron unit root tests to check whether the data are stationary, Autoregressive distributed lagged (ARDL) bounding and Error Correction Mechanism tests to estimate the coefficient parameters. The results indicate that real relative interest rate and productivity differentials have a positive and significant influence on the real euro-dollar exchange rate; while we find statistically insignificant long-term relationship between trade balance and real exchange rate, and between real oil price and real exchange rate. |
| first_indexed | 2025-11-14T18:42:59Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22054 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:42:59Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-220542018-03-08T00:20:42Z https://eprints.nottingham.ac.uk/22054/ long-term determinants of the real exchange rate euro-dollar exchange rate Ma, Xiao Since 1999, the launch of euro undoubtedly threats the dominant position of the U.S. dollar. This study attempts to empirically examine link between the long-term forces driving the real euro-dollar exchange rate. In literature review, it provides consistent theoretical frameworks proposed by Purchasing Power Parity, Balassa-Samuelson effect, Uncovered Interest Parity and Balance of Payment. Under theoretical frameworks and empirical review, five fundamental determinants are identified as real relative interest rate, productivity differentials, real oil price, trade balance and government control, which is a unquantifiable determinant, to generate real euro-dollar exchange rate movements. Time-series data covered the period of January 1999 to March 2008. We apply the method of Augmented Dickey-Fuller and Phillips-Perron unit root tests to check whether the data are stationary, Autoregressive distributed lagged (ARDL) bounding and Error Correction Mechanism tests to estimate the coefficient parameters. The results indicate that real relative interest rate and productivity differentials have a positive and significant influence on the real euro-dollar exchange rate; while we find statistically insignificant long-term relationship between trade balance and real exchange rate, and between real oil price and real exchange rate. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22054/1/08MAlixxm3.pdf Ma, Xiao (2008) long-term determinants of the real exchange rate euro-dollar exchange rate. [Dissertation (University of Nottingham only)] (Unpublished) real exchange rate determinations Purchasing power parity (PPP) Balassa-Samuelson effect Interest Rate Parity Balance of Payment Approach |
| spellingShingle | real exchange rate determinations Purchasing power parity (PPP) Balassa-Samuelson effect Interest Rate Parity Balance of Payment Approach Ma, Xiao long-term determinants of the real exchange rate euro-dollar exchange rate |
| title | long-term determinants of the real exchange rate euro-dollar exchange rate |
| title_full | long-term determinants of the real exchange rate euro-dollar exchange rate |
| title_fullStr | long-term determinants of the real exchange rate euro-dollar exchange rate |
| title_full_unstemmed | long-term determinants of the real exchange rate euro-dollar exchange rate |
| title_short | long-term determinants of the real exchange rate euro-dollar exchange rate |
| title_sort | long-term determinants of the real exchange rate euro-dollar exchange rate |
| topic | real exchange rate determinations Purchasing power parity (PPP) Balassa-Samuelson effect Interest Rate Parity Balance of Payment Approach |
| url | https://eprints.nottingham.ac.uk/22054/ |