On European monetary integration and the persistence of real effective exchange rates

Robinson Kruse

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper deals with the possibility of changing persistence in European real effective exchange rates as initially analyzed by Gadea and Gracia (2009). By applying a CUSUM of squares-based test for constant versus changing persistence with desirable statistical properties, an OECD data set is reconsidered. The empirical results suggest that persistence remains constant over time for nearly all time series. Thus, European monetary integration has not affected the persistence of external competitiveness significantly. Moreover, strong evidence for non-stationarity is found. Explanations for the sharp contrast of new results towards the ones by Gadea and Gracia (2009) are provided.

Keywords: Changing persistence; unit roots; structural breaks; European monetary integration (search for similar items in EconPapers)
JEL-codes: C22 E61 F31 F42 (search for similar items in EconPapers)
Pages: 12
Date: 2010-03-01
New Economics Papers: this item is included in nep-eec, nep-mon and nep-opm
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https://repec.econ.au.dk/repec/creates/rp/10/rp10_26.pdf (application/pdf)

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Journal Article: On European monetary integration and the persistence of real effective exchange rates (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2010-26

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