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Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?
[Zeitschriftenartikel]
Abstract In this paper we aim at modelling the long run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has been paid to this group of countries, in particular, to the existence of nonlinearities in the long run path of such a variable. Controlling f... mehr
In this paper we aim at modelling the long run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has been paid to this group of countries, in particular, to the existence of nonlinearities in the long run path of such a variable. Controlling for two sources of nonlinearites, i.e. asymmetric adjustment to equilibrium and nonlinear deterministic trends allows us to gain some insight about the behaviour of the African REER. We find that these sources of nonlinearites help us to explain the apparent unit root behaviour found applying linear unit root tests for most of the countries.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Freie Schlagwörter
PPP; Real Exchange Rate; Unit Roots; Nonlinearities
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 243-258
Zeitschriftentitel
Applied Economics, 43 (2009) 2
DOI
https://doi.org/10.1080/00036840802467065
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)