The (UN-) stable relationship between the exchange rate and its fundamentals
Carlo Altavilla ()
Applied Economics Letters, 2008, vol. 15, issue 7, 539-544
This study investigates the relationship between the euro--dollar exchange rate and its underlying fundamentals by adopting nonlinear time series modelling. We found that this relationship is episodically unstable. We also found that an equilibrium-distorting shock is likely to have a greater effect on the exchange rate during periods when the deviation between exchange rate and fundamentals is large; as a consequence, when the exchange rate is close to its equilibrium value it tends to be less sensitive to any shocks in the fundamentals.
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.
Working Paper: The (Un-) Stable Relationship between The Exchange rate and its Fundamentals (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2008:i:7:p:539-544
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Series data maintained by Michael McNulty ().