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The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration

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Author Info
Luis A. Gil-Alana

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Abstract

The annual structure of the real exchange rates in sixteen European countries is examined in this article by means of fractional integration techniques. The results show that the highest degree of dependence between the observations is obtained for countries Finland or Spain whereas Switzerland and the UK present the smallest orders of integration. Thus, stronger policy actions are required in the former countries to bring the variables back to their original levels.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 7 (June)
Pages: 429-432
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Handle: RePEc:taf:apeclt:v:11:y:2004:i:7:p:429-432

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  1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October. [Downloadable!] (restricted)
  2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May. [Downloadable!] (restricted)
  3. Costa, Antonio A & Crato, Nuno, 2001. "Long-Run versus Short-Run Behaviour of the Real Exchange Rates," Applied Economics, Taylor and Francis Journals, vol. 33(5), pages 683-88, April. [Downloadable!] (restricted)
  4. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
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  5. 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. [Downloadable!] (restricted)
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  6. Michael Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis. [Downloadable!]
  7. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October. [Downloadable!] (restricted)
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