-
Views
-
Cite
Cite
Jean Imbs, Haroon Mumtaz, Morten O. Ravn, Hélène Rey, Nonlinearities and Real Exchange Rate Dynamics, Journal of the European Economic Association, Volume 1, Issue 2-3, 1 May 2003, Pages 639–649, https://doi.org/10.1162/154247603322391279
- Share Icon Share
Abstract
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.
This content is only available as a PDF.
© 2003 by the European Economic Association
You do not currently have access to this article.