Nonlinearities and Real Exchange Rate Dynamics
成果类型：
Article
署名作者：
Imbs, Jean; Mumtaz, Haroon; Ravn, Morten O.; Rey, Helene
署名单位：
University of London; London Business School; National Bureau of Economic Research
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/154247603322391279
发表日期：
2003
页码：
639-649
关键词：
摘要：
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. (JEL: F36, F41, C43)
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