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Real exchange rate behavior : the recent float from the perspective of the past two centuries
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Lothian, James R. and Taylor, Mark P. (1996) Real exchange rate behavior : the recent float from the perspective of the past two centuries. Journal of Political Economy, 104 (3). pp. 488-509.
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Official URL: http://www.jstor.org/stable/2138861?seq=1#page_sca...
Abstract
Using annual data spanning two centuries for dollar-sterling and franc-sterling real exchange rates, we find strong evidence of mean-reverting real exchange rate behavior.
Using simple, stationary, autoregressive models estimated on prefloat data, we easily outperform nonstationary real exchange rate models in dynamic forecasting exercises over the recent float. Such stationary univariate equations explain 60-80 percent of the in-sample variation in real exchange rates, although the degree of short-run persistence may be high ...
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Journal of Political Economy | ||||
| Publisher: | University of Chicago Press | ||||
| ISSN: | 0022-3808 | ||||
| Official Date: | 1996 | ||||
| Dates: |
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| Volume: | 104 | ||||
| Number: | 3 | ||||
| Page Range: | pp. 488-509 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Open Access Version: |
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