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Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003

In: Nonlinear Time Series Analysis of Business Cycles

Author

Listed:
  • Q.Farooq Akram
  • Øyvind Eitrheim
  • Lucio Sarno

Abstract

We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been compiled and covers the period 1830-2003. We apply multivariate linear and smooth transition regression models proposed by Teräsvirta (1998) to capture broad trends, and take into account non-linear features of the time series. We particularly investigate and characterise the form of the relationship between output and monetary policy variables. It appears that allowance for statedependent behaviour and response to shocks increases the explanatory powers of the models and helps bring forward new aspects of the dynamic behaviour of output, the real exchange rate and real money balances.
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Suggested Citation

  • Q.Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2006. "Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 333-377, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:ceazzz:s0573-8555(05)76013-2
    DOI: 10.1016/S0573-8555(05)76013-2
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    Cited by:

    1. is not listed on IDEAS
    2. Milas Costas & Legrenzi Gabriella, 2006. "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
    3. 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.

    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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