Article Dans Une Revue Journal of the European Economic Association Année : 2003

Non-Linearities and Real Exchange Rate Dynamics

Résumé

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.

Dates et versions

hal-00612596 , version 1 (29-07-2011)

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Jean Imbs, Haroon Mumtaz, Morten O. Ravn, Helene Rey. Non-Linearities and Real Exchange Rate Dynamics. Journal of the European Economic Association, 2003, 1 (2-3), pp.639-649. ⟨10.1162/154247603322391279⟩. ⟨hal-00612596⟩
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