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The U.S. Current Account and Real Effective Dollar Exchange Rates
Beckmann, Joscha | Belke, Ansgar | Czudaj, Robert
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 2 : pp. 213–231
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Dr. Joscha Beckmann, University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, 45117 Essen.
Prof. Ansgar Belke, IZA Bonn and University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, 45117 Essen.
Dr. Robert Czudaj, University of Duisburg-Essen, Department of Economics, Chair for Econometrics, 45117 Essen and FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, 45127 Essen.
Abstract
This study analyzes long-run and short-run dynamics between the current account and the real effective dollar exchange rates from a novel perspective. Applying multivariate cointegration techniques, we first test for a long-run relationship between the real effective dollar exchange rate and the U.S. current account. We then include further macroeconomic factors as an extension. As a next step, we pay particular attention to the evolvement of the coefficients over time based on an estimation of a time varying coefficient approach by means of Kalman filtering. (E31, F31)