search query: @author Lothian, J. / total: 4
reference: 3 / 4
| Author: | Lothian, J. |
| Title: | Real exchange rate behavior: the recent float from the perspective of the past two centuries |
| Journal: | Journal of Political Economy
1996 : JUN, VOL. 104:3, p. 488-509 |
| Index terms: | ECONOMIC CONDITIONS POLITICS EXCHANGE RATES |
| Language: | eng |
| Abstract: | Using annual data spanning two centuries for dollar-sterling and franc-sterling real exchange rates, the authors find strong evidence of mean-reverting real exchange rate behavior. Using simple, stationary, autoregressive models estimated on prefloat data, the authors easily outperform nonstationary real exchange rate models in dynamic forecasting exercises over the recent float. Such stationary univariate equations explain 60-80 percent of the in-sample variation in real exchange rates, although the degree of short-run persistence may be high. |
SCIMA