NON-LINEAR TREND STATIONARITY AND CO-TRENDING IN LATIN AMERICAN REAL EXCHANGE RATES

Mark Holmes ()

Applied Econometrics and International Development, 2008, vol. 8, issue 1, 107-118

Abstract: This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This finding is in contrast to most existing studies of Latin American real exchange rate behaviour that focus on linear adjustments. Further analysis reveals that Latin American real exchanges are co-trended insofar as they share a common non-linear trend.

Keywords: Latin America; real exchange rate; non-linear; stationarity; unit root tests. (search for similar items in EconPapers)
JEL-codes: C2 F0 F3 (search for similar items in EconPapers)
Date: 2008
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