Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?
AbstractIn this article, we aim at modelling the long-run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has been paid to this group of countries, in particular, to the existence of nonlinearities in the long-run path of such a variable. Controlling for two sources of nonlinearities, i.e. asymmetric adjustment to equilibrium and nonlinear deterministic trends allows us to gain some insight about the behaviour of the African REER. We find that these sources of nonlinearities help us to explain the apparent unit root behaviour found applying linear unit root tests for most of the countries.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 43 (2011)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RAEC20
Other versions of this item:
- Juan Carlos Cuestas & Estefania Mourelle, 2008. "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," Working Papers 2008/8, Nottingham Trent University, Nottingham Business School, Economics Division.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F15 - International Economics - - Trade - - - Economic Integration
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