Please use this identifier to cite or link to this item:
|Title:||Real exchange rate, stationarity, and economic fundamentals|
|Citation:||Journal of Economics and Finance, 33, 4, 2009, 393-409|
|Abstract:||Using monthly data for the US/UK real exchange rate over the period 1921–2002, we find evidence that the mean reverting tendency of the real exchange rate is stochastic, and regime-dependent. There is one regime over which PPP holds as a long-run equilibrium relation, i.e. a stationary PPP regime, and another regime over which PPP does not hold, i.e. a non-stationary PPP regime. The transition from the non-stationary to the stationary regime is found to be affected by the real interest rate differential, and by the volatility of the nominal exchange rate. The real output differential does not appear to affect the transition probability.|
|Appears in Collections:||Δημοσιεύσεις σε Περιοδικά|
Files in This Item:
There are no files associated with this item.
Show full item record
Items in CRIS are protected by copyright, with all rights reserved, unless otherwise indicated.