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Long-run versus short-run behaviour of the real exchange rates

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  • Antonio Costa
  • Nuno Crato
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    Abstract

    This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840122409
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics.

    Volume (Year): 33 (2001)
    Issue (Month): 5 ()
    Pages: 683-688

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    Handle: RePEc:taf:applec:v:33:y:2001:i:5:p:683-688

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    Web page: http://www.tandfonline.com/RAEC20

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    Cited by:
    1. Dimitrios Sideris, 2008. "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers 66, Bank of Greece.

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