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Real exchange rate, stationarity, and economic fundamentals

Kanas, Angelos (2009) Real exchange rate, stationarity, and economic fundamentals. Journal of Economics and Finance, 33 (4). pp. 393-409. ISSN 1055-0925. (doi:10.1007/s12197-008-9041-7) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1007/s12197-008-9041-7

Abstract

Using monthly data for the US/UK real exchange rate over the period 1921-2002, we find evidence that the mean reverting tendency of the real exchange rate is stochastic, and regime-dependent. There is one regime over which PPP holds as a long-run equilibrium relation, i.e. a stationary PPP regime, and another regime over which PPP does not hold, i.e. a non-stationary PPP regime. The transition from the non-stationary to the stationary regime is found to be affected by the real interest rate differential, and by the volatility of the nominal exchange rate. The real output differential does not appear to affect the transition probability. © Springer Science+Business Media, LLC 2008.

Item Type: Article
DOI/Identification number: 10.1007/s12197-008-9041-7
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece [Field not mapped to EPrints] AD - IACM, FORTH, Crete, Greece [Field not mapped to EPrints] JA - J. Econ. Financ. [Field not mapped to EPrints]
Uncontrolled keywords: PPP, Regime Switching, Real Interest Rate Differential, Real Output Differential
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 12:08 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41136 (The current URI for this page, for reference purposes)
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