Structural breaks in the real exchange rate adjustment mechanism

Copeland, Laurence Sidney and Heravi, Saeed ORCID: https://orcid.org/0000-0002-0198-764X 2009. Structural breaks in the real exchange rate adjustment mechanism. Applied Financial Economics 19 (2) , pp. 121-134. 10.1080/09603100701765216

Full text not available from this repository.

Abstract

We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al. (2003), we show that the real exchange rate process shifted in the aftermath of Black Wednesday in the case of pound, in 1984/85 in the case of franc and, more tentatively, during the Asian crisis of 1997/98 in the case of yen.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance J Political Science > JF Political institutions (General)
Publisher:	Routledge
ISSN:	0960-3107
Last Modified:	19 Oct 2022 09:09
URI:	https://orca.cardiff.ac.uk/id/eprint/20130

Citation Data

Cited 2 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item