UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Nonlinearities and real exchange rate dynamics

Imbs, J.; Mumtaz, H.; Ravn, M.O.; Rey, H.; (2003) Nonlinearities and real exchange rate dynamics. Journal of the European Economic Association , 1 (2-3) pp. 639-649. 10.1162/154247603322391279. Green open access

[thumbnail of 18633.pdf]
Preview
PDF
18633.pdf

Download (74kB)

Abstract

We confirm the presence of substantial nonlinearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not profitable because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector specific real exchange rates, conditional on the existence of arbitrage as implied by our nonlinear estimations, and relate them to plausible economic determinants such as tradability and exchange rate volatility.

Type: Article
Title: Nonlinearities and real exchange rate dynamics
Open access status: An open access version is available from UCL Discovery
DOI: 10.1162/154247603322391279
Publisher version: http://dx.doi.org/10.1162/154247603322391279
Language: English
Additional information: © 2003 The MIT Press
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/18633
Downloads since deposit
636Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item