The common-trend and transitory dynamics in real exchange rate fluctuations
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 1-18 |
| Journal / Publication | Applied Economics |
| Volume | 43 |
| Issue number | 1 |
| Publication status | Published - Jan 2011 |
Link(s)
Abstract
This study examines the behaviour of both Common Trend (CT) and transitory components of Real Exchange Rate (RER) fluctuations under the current float. The CT component is in most cases found to be sizeable, albeit its relative importance can vary considerably across major currencies and its estimate can be sensitive to whether or not long-run Purchasing Power Parity (PPP) is imposed on the data. Further analysis suggests that both CT and transitory innovations are linked much more to interest rate changes than to productivity changes. Accordingly, it is interest rate, not productivity, disturbances that drive the highly persistent RER. © 2011 Taylor & Francis.
Citation Format(s)
The common-trend and transitory dynamics in real exchange rate fluctuations. / Bergman, U. Michael; Cheung, Yin-Wong; Lai, Kon S.
In: Applied Economics, Vol. 43, No. 1, 01.2011, p. 1-18.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
