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Real exchange rate dynamics in transition economies : a nonlinear analysis
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Taylor, Mark P. and Sarno, Lucio (2001) Real exchange rate dynamics in transition economies : a nonlinear analysis. Studies in Nonlinear Dynamics and Econometrics, Vol.5 (No.3). pp. 153-177. doi:10.2202/1558-3708.1077 ISSN 1558-3708.
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Official URL: http://dx.doi.org/10.2202/1558-3708.1077
Abstract
We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest rate differentials and (implicitly) for productivity differentials to have an impact on real exchange rate equilibrium and employing nonlinear modeling techniques that are consistent with recently developed economic theories and observed regularities. Using a nonlinear multivariate generalization of the Beveridge-Nelson decomposition applied to our models, we also identify the permanent and temporary components of these real exchange rates implied by our estimates. The results have a natural interpretation and clear policy implications.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School Faculty of Social Sciences > Economics |
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Library of Congress Subject Headings (LCSH): | Foreign exchange rates, Economics, Mathematical, Economic development -- Europe, Eastern, Europe, Eastern -- Economic conditions -- Econometric models, Europe, Eastern -- Economic conditions -- 1989-, Europe, Eastern -- Foreign economic relations | ||||
Journal or Publication Title: | Studies in Nonlinear Dynamics and Econometrics | ||||
Publisher: | Berkeley Electronic Press | ||||
ISSN: | 1558-3708 | ||||
Official Date: | October 2001 | ||||
Dates: |
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Volume: | Vol.5 | ||||
Number: | No.3 | ||||
Page Range: | pp. 153-177 | ||||
DOI: | 10.2202/1558-3708.1077 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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