IDEAS home Printed from https://ideas.repec.org/a/eee/jimfin/v14y1995i4p539-548.html
   My bibliography  Save this article

Real exchange rates under the gold standard: can they be explained by the trend break model?

Author

Listed:
  • Culver, Sarah E.
  • Papell, David H.

Abstract

No abstract is available for this item.

Suggested Citation

  • Culver, Sarah E. & Papell, David H., 1995. "Real exchange rates under the gold standard: can they be explained by the trend break model?," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 539-548, August.
    • Handle: RePEc:eee:jimfin:v:14:y:1995:i:4:p:539-548
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0261-5606(95)00024-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Perron, Pierre & Vogelsang, Timothy J., "undated". "Level Shifts and Purchasing Power Parity," Instructional Stata datasets for econometrics levshift, Boston College Department of Economics.
    3. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    4. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    5. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
    6. Raj, Baldev, 1992. "International Evidence on Persistence in Output in the Presence of an Episodic Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 281-293, July-Sept.
    7. Martin D. D. Evans & James R. Lothian, 2017. "The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 1, pages 3-38, World Scientific Publishing Co. Pte. Ltd..
    8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    9. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1252-1271, December.
    10. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, Decembrie.
    11. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    12. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-177, Supplemen.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cheung, Yin-Wong & Lai, Kon S., 2000. "On cross-country differences in the persistence of real exchange rates," Journal of International Economics, Elsevier, vol. 50(2), pages 375-397, April.
    2. repec:qut:auncer:2013_01 is not listed on IDEAS
    3. Noriega, Antonio E. & Soria, Luis M. & Velázquez, Ramón, 2008. "International evidence on stochastic and deterministic monetary neutrality," Economic Modelling, Elsevier, vol. 25(6), pages 1261-1275, November.
    4. Natalie D. Hegwood & Hiranya K. Nath, 2014. "Real exchange rate dynamics: Evidence from India," Economic Analysis and Policy, Elsevier, vol. 44(4), pages 396-404.
    5. Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
    6. Cheung, Yin-Wong & Chinn, Menzie & Fujii, Eiji, 2001. "Market Structure and the Persistence of Sectoral Real Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 95-114, April.
    7. Hegwood, Natalie D. & Nath, Hiranya K., 2013. "Structural breaks and relative price convergence among US cities," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 150-160.
    8. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 2006-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    9. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.
    10. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
    11. Jiahui Wang & Eric Zivot, 1999. "A Time Series Model of Multiple Structural changes in Level, Trend and Variance," Econometrics 9903002, University Library of Munich, Germany, revised 31 Mar 1999.
    12. Cheung, Yin-Wong & Lai, Kon S., 1998. "Parity reversion in real exchange rates during the post-Bretton Woods period," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 597-614, August.
    13. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236.
    14. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    15. Hiranya K. Nath & Jayanta Sarkar, 2014. "City Relative Price Dynamics in Australia: Are Structural Breaks Important?," The Economic Record, The Economic Society of Australia, vol. 90(288), pages 33-48, March.
    16. Kausik Chaudhuri & Jeffrey Sheen, 2004. "Purchasing Power Parity Across States and Goods Within Australia," The Economic Record, The Economic Society of Australia, vol. 80(250), pages 314-329, September.
    17. R. Velazquez & Noriega & A., 2004. "International evidence on monetary neutrality under broken trend stationary models," Computing in Economics and Finance 2004 282, Society for Computational Economics.
    18. Cheung, Yin-Wong & Lai, Kon S., 1998. "Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 61-76, May.
    19. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 1999. "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 359-376, November.
    20. Yangru Wu, 1997. "The trend behavior of real exchange rates: Evidence from OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(2), pages 282-296, June.
    21. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.
    22. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dan Ben-David & David H. Papell, 1994. "The Great Wars, The Great Crash, and the Unit Root Hypothesis: Some New Evidence About an Old Stylized Fact," NBER Working Papers 4752, National Bureau of Economic Research, Inc.
    2. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
    3. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
    4. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, August.
    5. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
    6. Monojit Chatterji & Homagni Choudhury, 2010. "Growth Rate Estimation in the presence of Unit Roots," Dundee Discussion Papers in Economics 245, Economic Studies, University of Dundee.
    7. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
    8. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
    9. Monojit Chatterji & Homagni Choudhury, 2010. "The Changing Inter-Industry Wage Structure of the Organised Manufacturing Sector in India, 1973-74 to 2003-04," Dundee Discussion Papers in Economics 244, Economic Studies, University of Dundee.
    10. Zeynel Abidin Ozdemir & Emre Aksoy, 2015. "Are real exchanges rate series really persistent?: evidence from three commonwealth of independent states countries," Applied Economics, Taylor & Francis Journals, vol. 47(40), pages 4299-4309, August.
    11. Amit Sen, 2007. "On the Distribution of the Break-Date Estimator Implied by the Perron-Type Statistics When the Form of Break is Misspecified," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-19.
    12. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
    13. Ewing, Bradley T. & Wunnava, Phanindra V., 2001. "Unit roots and structural breaks in North American unemployment rates," The North American Journal of Economics and Finance, Elsevier, vol. 12(3), pages 273-282, November.
    14. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, University Library of Munich, Germany, revised 08 Nov 1994.
    15. Vougas, Dimitrios V., 2006. "On unit root testing with smooth transitions," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 797-800, November.
    16. Brodsky, Boris, 2008. "Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 11(3), pages 52-63.
    17. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    18. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.
    19. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185.
    20. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:14:y:1995:i:4:p:539-548. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.