Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1630
Title: Real exchange rate, stationarity, and economic fundamentals
Authors: 
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.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1630
URLs: http://link.springer.com/content/pdf/10.1007%2Fs12197-008-9041-7.pdf
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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