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Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates

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  • HOLMES, Mark J

Abstract

This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This finding is in contrast to most existing studies of Latin American real exchange rate behaviour that focus on linear adjustments. Further analysis reveals that Latin American real exchanges are co-trended insofar as they share a common non-linear trend.

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  • HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118.
    • Handle: RePEc:eaa:aeinde:v:8:y:2008:i:1_9
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    More about this item

    Keywords

    Latin America; real exchange rate; non-linear; stationarity; unit root tests.;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General
    • F3 - International Economics - - International Finance
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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