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| Author: | Lothian, J.R. Taylor, M.P. |
| Title: | Real exchange rates over the past two centuries: how important is the Harrod-Balassa-Samuelson effect? |
| Journal: | Economic Journal
2008 : OCT, VOL. 118:532, p. 1742-1763 |
| Index terms: | exchange equilibrium exchange rates volatility France United Kingdom USA |
| Language: | eng |
| Abstract: | This study tests for the presence of real effects on the equilibrium real exchange rate (the Harrod-Balassa-Samuelson, HBS effect) in an explicitly non-linear framework and allowing shifts in real exchange rate volatility across nominal regimes, by using data since 1820 for the US, UK and France. A statistically significant HBS effect for sterling-dollar captures its long-run trend and explains a proportion of variation in changes in the real rate that is proportional to the time horizon of the change. |
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