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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

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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 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:
DateEvent
October 2008Published
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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