Lothian, James R. and Taylor, Mark P.. (2008) Real exchange rates over the past two centuries: how important is the Harrod-Balassa-Samuelson effect? Economic Journal, Vol.118 (No.532). pp. 1742-1763. ISSN 0013-0133

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Abstract

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 signifcant HBS effect for sterling-dollar captures its longrun 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 signifcant evidence of nonlinear reversion towards long-run equilibrium and downwards shifts in volatility during fixed nominal exchange rate regimes.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Purchasing power parity, Foreign exchange rates, Industrial productivity -- Measurement, Macroeconomics
Series Name:	Warwick economic research papers
Journal or Publication Title:	Economic Journal
Publisher:	Wiley-Blackwell Publishing Ltd.
Place of Publication:	Coventry
ISSN:	0013-0133
Date:	21 October 2008
Volume:	Vol.118
Number:	No.532
Number of Pages:	38
Page Range:	pp. 1742-1763
Identification Number:	10.1111/j.1468-0297.2008.02188.x
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/1431

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