Structural Breaks in the Real Exchange Rate Adjustment Mechanism
AbstractWe show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterised by structural breaks which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition AutoRegressive of the kind introduced by Lundbergh et al (2003), we show that the real exchange rate process shifted in the aftermath of Black Wednesday in the case of the Pound, in 1984-5 in the case of the Franc and, more tentatively, during the Asian crisis of 1997-8 in the case of the Yen.
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Bibliographic InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2006/21.
Length: 35 pages
Date of creation: Jul 2006
Date of revision:
Publication status: Published in Applied Financial Economics ,19:2,121-134. DOI: 10.1080/09603100701765216
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Other versions of this item:
- Laurence Copeland & Saeed Heravi, 2009. "Structural breaks in the real exchange rate adjustment mechanism," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 121-134.
- NEP-ALL-2006-07-21 (All new papers)
- NEP-CBA-2006-07-21 (Central Banking)
- NEP-FMK-2006-07-21 (Financial Markets)
- NEP-IFN-2006-07-21 (International Finance)
- NEP-SEA-2006-07-21 (South East Asia)
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