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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
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Official URL: http://dx.doi.org/10.1111/j.1468-0297.2008.02188.x
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 significant HBS effect for sterling-dollar captures its long-run 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 significant 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 > HC Economic History and Conditions | ||||
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | Economic Journal | ||||
| Publisher: | Blackwell | ||||
| ISSN: | 0013-0133 | ||||
| Official Date: | October 2008 | ||||
| Dates: |
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| Volume: | Vol.118 | ||||
| Number: | No.532 | ||||
| Number of Pages: | 22 | ||||
| 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: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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