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Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?


Cuestas, Juan Carlos; Mourelle, Estefania


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-243116

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Abstract In this paper we aim at modelling the long run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has been paid to this group of countries, in particular, to the existence of nonlinearities in the long run path of such a variable. Controlling for two sources of nonlinearites, i.e. asymmetric adjustment to equilibrium and nonlinear deterministic trends allows us to gain some insight about the behaviour of the African REER. We find that these sources of nonlinearites help us to explain the apparent unit root behaviour found applying linear unit root tests for most of the countries.
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter PPP; Real Exchange Rate; Unit Roots; Nonlinearities
Publikationsjahr 2009
Seitenangabe S. 243-258
Zeitschriftentitel Applied Economics, 43 (2009) 2
DOI http://dx.doi.org/10.1080/00036840802467065
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)