Long-run versus short-run behaviour of the real exchange rates

Costa, António A.; Crato, Nuno

http://hdl.handle.net/10400.5/27680

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Autores

Costa, António A.

Crato, Nuno

Resumo(s)

This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period.

Palavras-chave

Exchange Rates Price Indices Regression Estimated AEFIMA Models Portugal

URI

http://hdl.handle.net/10400.5/27680

Citação

Costa, António A. and Nuno Crato .(2001). “Long-run versus short-run behaviour of the real exchange rates”. Applied Economics, Vol. 33, No. 5: pp. 683-688. (Search PDF in 2023).

Editora

Taylor & Francis

DOI

10.1080/00036840122409

Coleções

DM -Artigos em Revistas Internacionais / Articles in International Journals

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