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Real exchange rates over the past two centuries: how important is the Harrod-Balassa-Samuelson effect?
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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. doi:10.1111/j.1468-0297.2008.02188.x ISSN 0013-0133.
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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 | ||||
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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 |
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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 | ||||
Official Date: | 21 October 2008 | ||||
Dates: |
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Volume: | Vol.118 | ||||
Number: | No.532 | ||||
Number of Pages: | 38 | ||||
Page Range: | pp. 1742-1763 | ||||
DOI: | 10.1111/j.1468-0297.2008.02188.x | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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