Add to ORKGUsing data since 1820 for the US, the UK and France, we test for the presence of real effects on the equilibrium real exchange rate (the Harrod-Balassa-Samuelson, HBS effect) in an explicitly nonlinear framework and allowing for shifts in real exchange rate volatility across nominal regimes. A statistically signi&cant HBS effect for sterling-dollar captures its long-run trend and explains a proportion of variation in changes in the real rate that is proportional to the time horizon of the change. There is signi&cant evidence of nonlinear reversion towards long-run equilibrium and downwards shifts in volatility during &xed nominal exchange rate regimes. JEL classi&cation: F31, F41, C1
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
Using data for 1820-2001 for the US, the UK and France, we test for the presence of real e¤ects on t...
equilibrium real exchange rate (the Harrod-Balassa-Samuelson, HBS effect) in an explicitly non-linea...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well moti...
We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been ...
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of ...
V irtually every theoretical model of exchange rates predicts that the realexchange rate between two...
A variety of international macroeconomic models predict a relationship between the real exchange rat...
International audienceRecent studies on general equilibrium models with transaction costs show that ...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
Using data for 1820-2001 for the US, the UK and France, we test for the presence of real e¤ects on t...
equilibrium real exchange rate (the Harrod-Balassa-Samuelson, HBS effect) in an explicitly non-linea...
Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the...
A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well moti...
We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been ...
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of ...
V irtually every theoretical model of exchange rates predicts that the realexchange rate between two...
A variety of international macroeconomic models predict a relationship between the real exchange rat...
International audienceRecent studies on general equilibrium models with transaction costs show that ...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods p...