Nonlinearities and real exchange rate dynamics

Jean Imbs; Haroon Mumtaz; Morten O. Ravn; Hélène Rey

doi:10.1162/154247603322391279

Nonlinearities and real exchange rate dynamics

Jean Imbs, Haroon Mumtaz, Morten O. Ravn, Hélène Rey

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	639-649
Number of pages	11
Journal	Journal of the European Economic Association
Volume	1
Issue number	2-3
DOIs	https://doi.org/10.1162/154247603322391279
State	Published - 2003

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)

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10.1162/154247603322391279

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Nonlinearities and real exchange rate dynamics

Abstract

ASJC Scopus subject areas

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