Real exchange rates over the past two centuries: How important is the Harrod-Balassa-Samuelson effect?

• 成果类型: Article
• 署名作者: Lothian, James R.; Taylor, Mark P.
• 署名单位: Fordham University; University of Warwick; Centre for Economic Policy Research - UK
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2008.02188.x
• 发表日期: 2008
• 页码: 1742-1763
• 关键词: purchasing-power-parity; transition autoregressive models; consistent covariance-matrix; rate behavior; time-series; nuisance parameter; unit-root; long-run; heteroskedasticity; hypothesis

摘要

Using 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 significant 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 significant evidence of nonlinear reversion towards long-run equilibrium and downwards shifts in volatility during fixed nominal exchange rate regimes.