COINTEGRATION BETWEEN EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL: THE CASE OF PAK RUPEE/US DOLLAR
DOI:
https://doi.org/10.24297/ijmit.v10i5.617Keywords:
exchange rate, interest rate differential.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).
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Published
2015-01-26
How to Cite
Ali Shah G.Syed, D., M.Shaikh, F., Sattar Shah, A., & Akram, M. (2015). COINTEGRATION BETWEEN EXCHANGE RATE AND INTEREST RATE DIFFERENTIAL: THE CASE OF PAK RUPEE/US DOLLAR. INTERNATIONAL JOURNAL OF MANAGEMENT &Amp; INFORMATION TECHNOLOGY, 10(5), 2146–2150. https://doi.org/10.24297/ijmit.v10i5.617
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