search query: @indexterm EXCHANGE RATES / total: 1242
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Author: | Imbs, J. (et al.) |
Title: | Nonlinearities and real exchange rate dynamics |
Journal: | Journal of the European Economic Association
2003 : APR-MAY, VOL. 1:2-3, p. 639-649 |
Index terms: | Arbitrage Exchange rates Nonlinear programming |
Language: | eng |
Abstract: | The presence of substantial nonlinearities in real exchange rate dynamics at the sectoral level are confirmed. There exists zones where arbitrage is not profitable because of transaction costs, and thus mean reversion is inexistent. The authors compute the speed of mean reversion of sector specific real exchange rates, conditional on the existence of arbitrage as implied by the authors' nonlinear estimations, and relate them to plausible economic determinants such as tradability and exchange rate volatility. |
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