Real exchange rate behavior: The recent float from the perspective of the past two centuries

• 成果类型: Article
• 署名作者: Lothian, JR; Taylor, MP
• 署名单位: University of Liverpool; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/262031
• 发表日期: 1996
• 页码: 488-509
• 关键词: purchasing power parity; consistent covariance-matrix; time-series regression; long-run; unit-root; heteroskedasticity; cointegration

摘要

Using annual data spanning two centuries for dollar-sterling and franc-sterling real exchange rates, we find strong evidence of mean-reverting real exchange rate behavior. Using simple, stationary, autoregressive models estimated on prefloat data, we easily outperform nonstationary real exchange rate models in dynamic forecasting exercises over the recent float. Such stationary univariate equations explain 60-80 percent of the in-sample variation in real exchange rates, although the degree of short-run persistence may be high. The econometric estimates imply a half-life of shocks to the real exchange rate of about 6 years for dollar-sterling and a little under 3 years for franc-sterling.