Syed A. Basher () (Department of Economic Policies, Qatar Central Bank, Doha, Qatar.) Josep Lluis Carrión-i-Silvestre () (AQR-IREA, University of Barcelona.)
Additional information is available for the following
registered author(s):
This paper analyzes the persistence of shocks that affect the real exchange rates for a panel of seventeen OECD developed countries during the post-Bretton Woods era. The adoption of a panel data framework allows us to distinguish two different sources of shocks, i.e. the idiosyncratic and the common shocks, each of which may have di¤erent persistence patterns on the real exchange rates. We first investigate the stochastic properties of the panel data set using panel stationarity tests that simultaneously consider both the presence of cross-section dependence and multiple structural breaks that have not received much attention in previous persistence analyses. Empirical results indicate that real exchange rates are non-stationary when the analysis does not account for structural breaks, although this conclusion is reversed when they are modeled. Consequently, misspecification errors due to the non-consideration of structural breaks leads to upward biased shocks' persistence measures. The persistence measures for the idiosyncratic and common shocks have been estimated in this paper always turn out to be less than one year.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Xarxa de Referència en Economia Aplicada (XREAP) in its series Working Papers with number
XREAP2008-6.
Length: 35 pages Date of creation: Jun 2008 Date of revision:
Jun 2008 Handle: RePEc:xrp:wpaper:xreap2008-06
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ci�ncies Econ�miques i Empresarials, Universitat de Barcelona, c/ Tinent Coronel Valenzuela, 1-11, 08034 Barcelona Phone: +34+934039653 Email: Web page: http://www.pcb.ub.es/xreap More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: ().
Related research
Keywords:
This paper has been announced in the following NEP Reports: