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

James R. Lothian and Mark Taylor

No 269738, Economic Research Papers from University of Warwick - Department of Economics

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 HarrodBalassa-Samuelson, HBS effect) in an explicitly nonlinear framework and allowing for shifts in real exchange rate volatility across nominal regimes. A statistically signi&cant HBS effect for sterling-dollar captures its longrun 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 signi&cant evidence of nonlinear reversion towards long-run equilibrium and downwards shifts in volatility during &xed nominal exchange rate regimes.

Keywords: International Relations/Trade; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 38
Date: 2006-10-21
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect? (2008)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269738

DOI: 10.22004/ag.econ.269738

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