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
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
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.