Structural Breaks in the Real Exchange Rate Adjustment Mechanism

Laurence Copeland () and Saeed Heravi ()
Additional contact information
Saeed Heravi: Cardiff Business School, http://business.cardiff.ac.uk/people/staff/saeed-heravi

No E2006/21, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

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.

Pages: 35 pages
Date: 2006-07
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn and nep-sea
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Published in Applied Financial Economics ,19:2,121-134. DOI: 10.1080/09603100701765216

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Related works:
Journal Article: Structural breaks in the real exchange rate adjustment mechanism (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2006/21

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