Hi everybody,
Im doing the follwoing regression:
CNY/USD = a+b(IRd-IRf)+e
Where..
CNY/USD = nominal exchange rate between China and the US (quoted indirect so USD pr CNY)
(IRd-IRf) = Interest rate differentials between Domestic (China) and Foreign (US).
As both variables are non-stationary I end up taking the first difference on both variables. So my question is, how do I interpret the beta coefficient of the interest rate differential variable when it is in first order I(1) (first difference)?
Thanks,
SASlinn
you can think of the beta to be the effect of the change of the interest rate differentials on the change of the nominal exchange rate.
Alex
you can think of the beta to be the effect of the change of the interest rate differentials on the change of the nominal exchange rate.
Alex
Join us for SAS Innovate April 16-19 at the Aria in Las Vegas. Bring the team and save big with our group pricing for a limited time only.
Pre-conference courses and tutorials are filling up fast and are always a sellout. Register today to reserve your seat.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.