Real exchange rates over the past two centuries: how important is the Harrod-Balassa-Samuelson effect?
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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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|
|Official Date:||21 October 2008|
|Number of Pages:||38|
|Page Range:||pp. 1742-1763|
|Access rights to Published version:||Open Access|
Asea, Patrick K, and Enrique Mendoza. 1994. �The Balassa-Samuelson Model: A General Equilibrium Appraisal.�Review of International Economics. 2, 244-67.
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