On European monetary integration and the persistence of real effective exchange rates
AbstractThis paper deals with the possibility of changing persistence in European real effective exchange rates as initially analyzed by Gadea and Gracia [2009. Finance Research Letters 6, 242-249]. By applying a CUSUM of squares-based test for constant versus changing persistence with desirable statistical properties, an OECD data set is reconsidered. The empirical results suggest that persistence remains constant over time for nearly all time series. Thus, European monetary integration has not affected the persistence of external competitiveness significantly. Moreover, strong evidence for non-stationarity is found. Explanations for the sharp contrast of new results towards the ones by Gadea and Gracia [2009. Finance Research Letters 6, 242-249] are provided.
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Bibliographic InfoArticle provided by Elsevier in its journal Finance Research Letters.
Volume (Year): 8 (2011)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/frl
Changing persistence Unit roots Structural breaks European monetary integration;
Other versions of this item:
- Robinson Kruse, 2010. "On European monetary integration and the persistence of real effective exchange rates," CREATES Research Papers 2010-26, School of Economics and Management, University of Aarhus.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
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