Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?

James R. Lothian and Mark Taylor

Economic Journal, 2008, vol. 118, issue 532, 1742-1763

Abstract: Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the equilibrium real exchange rate (the Harrod‐Balassa‐Samuelson, HBS effect) in an explicitly nonlinear framework and allowing for shifts in real exchange rate volatility across nominal regimes. A statistically significant HBS effect for sterling–dollar captures its long‐run trend and explains a proportion of variation in changes in the real rate that is proportional to the time horizon of the change. There is significant evidence of nonlinear reversion towards long‐run equilibrium and downwards shifts in volatility during fixed nominal exchange rate regimes.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (141)

Downloads: (external link)
https://doi.org/10.1111/j.1468-0297.2008.02188.x

Related works:
Journal Article: Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect? (2008)
Working Paper: Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect? (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:econjl:v:118:y:2008:i:532:p:1742-1763

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1468-0297

Access Statistics for this article

Economic Journal is currently edited by Estelle Cantillon, Martin Cripps, Andrea Galeotti, Morten Ravn, Kjell G. Salvanes, Frederic Vermeulen, Hans-Joachim Voth and Rachel Kranton

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().