Nonlinear adjustment in the real dollar-euro exchange rate: The role of the productivity differential as a fundamental
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Títol
Nonlinear adjustment in the real dollar-euro exchange rate: The role of the productivity differential as a fundamentalData de publicació
2012Editor
ElsevierISSN
0264-9993Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.sciencedirect.com/science/article/pii/S0264999311002823Versió
info:eu-repo/semantics/submittedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
Economic Modelling, March 2012, Volume 29, Issue 2Drets d'accés
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