UNSPECIFIED. (2001) Real exchange rate dynamics in transition economies: a nonlinear analysis. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 5 (3). pp. 153-177. ISSN 1081-1826

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Abstract

We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest rate differentials and (implicitly) for productivity differentials to have an impact on real exchange rate equilibrium and employing nonlinear modeling techniques that are consistent with recently developed economic theories and observed regularities. Using a nonlinear multivariate generalization of the Beveridge-Nelson decomposition applied to our models, we also identify the permanent and temporary components of these real exchange rates implied by our estimates. The results have a natural interpretation and clear policy implications.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences
Journal or Publication Title:	STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
Publisher:	BERKELEY ELECTRONIC PRESS
ISSN:	1081-1826
Date:	September 2001
Volume:	5
Number:	3
Number of Pages:	25
Page Range:	pp. 153-177
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/10761

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