COINTEGRATION BETWEEN EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL: THE CASE OF PAK RUPEE/US DOLLAR
Journal Title: INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY - Year 2015, Vol 10, Issue 5
Abstract
Empirical literature is inconclusive whether a relationship exists between Interest Rate Differential and exchange rate. However, theoretical literature suggests that such positive relationship exists between these variables. Monthly interest rate data between Pakistan and USA from Jan 2001 to December 2010 was taken and co-integration technique was applied to empirically test the relationship between both variables. The results show no relationship exists between these variables. This results supports the findings of previous studies of Edison and Pauls (1993) and Shah,A and Saeed Ur Reham (2010).
Authors and Affiliations
Dr. Anwar Ali Shah G. Syed, Faiz M. Shaikh, Abdul Sattar Shah, Muhammad Akram
Keywords
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- EP ID EP653996
- DOI 10.24297/ijmit.v10i5.617
- Views 167
- Downloads 0
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