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The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration

The annual structure of the real exchange rates in sixteen European countries is examined in this article by means of fractional integration techniques. The results show that the highest degree of dependence between the observations is obtained for countries Finland or Spain whereas Switzerland and the UK present the smallest orders of integration. Thus, stronger policy actions are required in the former countries to bring the variables back to their original levels.

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

Volume (Year): 11 (2004)
Issue (Month): 7 ()
Pages: 429-432

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:7:p:429-432
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  1. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
  2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  3. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  4. Michael Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis.
  5. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
  6. Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1998. "Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?," Boston College Working Papers in Economics 380, Boston College Department of Economics.
  7. Cioczek-Georges, R. & Mandelbrot, B. B., 1995. "A class of micropulses and antipersistent fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 1-18, November.
  8. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  9. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
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