Non-Linearities and Real Exchange Rate Dynamics

Détails

ID Serval
serval:BIB_49D37E2BABF0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Non-Linearities and Real Exchange Rate Dynamics
Périodique
Journal of the European Economic Association
Auteur(s)
Imbs J., Mumtaz H., Ravn M., Rey H.
Statut éditorial
Publié
Date de publication
04/2003
Peer-reviewed
Oui
Volume
1
Numéro
2-3
Pages
639-649
Langue
anglais
Résumé
We confirm the presence of substantial nonlinearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not profitable because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector specific real exchange rates, conditional on the existence of arbitrage as implied by our nonlinear estimations, and relate them to plausible economic determinants such as tradability and exchange rate volatility.
Création de la notice
19/11/2007 11:25
Dernière modification de la notice
20/08/2019 14:57
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