Real Exchange Rate Persistence and Country Characteristics

Michael Curran () and Adnan Velic

Economic Papers from Trinity College Dublin, Economics Department

Abstract: This paper examines the persistence of real exchange rates across the world. We employ univariate time series techniques on a country-by-country basis allowing for deterministic structural breaks and nonlinearities in the adjustment process. Our findings suggest that bilateral exchange rates and industrial countries display the highest rates of persistence. We retrieve evidence indicating that higher inflation, nominal exchange rate volatility, trade openness and proximity to reference country are associated with faster rates of real exchange rate convergence. Conversely, international financial integration is only found to be a significant factor at the country group level, with differential effects across cohorts.

Keywords: Real Exchange Rate; Parity Deviations; Cross-Country Persistence Differences; Structural Determinants (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-03
New Economics Papers: this item is included in nep-cba and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://www.tcd.ie/Economics/TEP/2017/TEP0917.pdf

Related works:
Journal Article: Real exchange rate persistence and country characteristics: A global analysis (2019)
Working Paper: Real Exchange Rate Persistence and Country Characteristics (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:tcd:tcduee:tep0917

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