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首页> 外文期刊>Journal of International Money and Finance >Regime linkages in the US/UK real exchange rate-real interest differential relation
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Regime linkages in the US/UK real exchange rate-real interest differential relation

机译：美国/英国实际汇率-实际利差关系中的制度联系

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摘要

Using a multivariate regime switching framework and focusing on the period 1921-2002, which is characterized by different nominal exchange rate regimes, and monetary regimes, we find supportive evidence of the US/UK real exchange rate-real interest differential relation, in terms of volatility regime dependence. The two variables are jointly characterized by high volatility during periods of floating exchange rates, and by low volatility during periods of fixed exchange rates, thereby suggesting that the nominal exchange rate regime is the driving force behind the volatility regime switching. Thus, allowing for regime switching in the real exchange rate-real interest differential relation bridges the gap between popular theories of real exchange rate determination, which predict such a relation, and previous empirical studies, which failed to uncover such a relation for the US/UK real exchange rate.
机译：使用多元体制转换框架并关注1921年至2002年这一时期，该时期的特点是名义汇率制度和货币制度不同，我们从以下方面找到了美国/英国实际汇率与实际利率差异关系的支持性证据：波动性制度依赖性。这两个变量的共同特征是浮动汇率期间的高波动性和固定汇率期间的低波动性，从而表明名义汇率制度是波动性制度转换背后的驱动力。因此，允许在实际汇率与实际利益之间的关系转换中，弥合了可以预测这种关系的流行的实际汇率确定理论与以往的经验研究之间的差距，这些理论未能为美国/英国实际汇率。

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