Nonlinear adjustment in the real dollar-euro exchange rate: The role of the productivity differential as a fundamental
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Título
Nonlinear adjustment in the real dollar-euro exchange rate: The role of the productivity differential as a fundamentalFecha de publicación
2012Editor
ElsevierISSN
0264-9993Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S0264999311002823Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
In this paper we analyze the influence of productivity differentials in the dynamics of the real dollar–euro exchange rate. Using nonlinear procedures for the estimation and testing of ESTAR models during the period ... [+]
In this paper we analyze the influence of productivity differentials in the dynamics of the real dollar–euro exchange rate. Using nonlinear procedures for the estimation and testing of ESTAR models during the period 1970–2009 we find that the dollar–euro real exchange rate shows nonlinear mean reversion towards the fundamentals represented by the productivity differential. In addition, we provide evidence about the ability of this variable to capture the overvaluation and undervaluation of the dollar against the euro. [-]
Publicado en
Economic Modelling, March 2012, Volume 29, Issue 2Derechos de acceso
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