Structural breaks in the real exchange rate adjustment mechanism

Copeland, Laurence and Heravi, Saeed ORCID: https://orcid.org/0000-0002-0198-764X 2006. Structural breaks in the real exchange rate adjustment mechanism. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

Preview

PDF - Published Version Download (653kB) | Preview

Abstract

We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterised by structural breaks which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition AutoRegressive 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 the Pound, in 1984-5 in the case of the Franc and, more tentatively, during the Asian crisis of 1997-8 in the case of the Yen

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	28 Oct 2022 10:17
URI:	https://orca.cardiff.ac.uk/id/eprint/77726

Actions (repository staff only)

Edit Item