Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003

Qaisar Akram, Øyvind Eitrheim and Lucio Sarno

No 2005/2, Working Paper from Norges Bank

Abstract: We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been compiled and covers the period 1830-2003. We apply multivariate linear and smooth transition regression models proposed by Teräsvirta (1998) to capture broad trends, and take into account non-linear features of the time series. We particularly investigate and characterise the form of the relationship between output and monetary policy variables. It appears that allowance for statedependent behaviour and response to shocks increases the explanatory powers of the models and helps bring forward new aspects of the dynamic behaviour of output, the real exchange rate and real money balances.

Keywords: Business cycles; real exchange rates; money demand; non-linear modelling; smooth transition regressions. (search for similar items in EconPapers)
JEL-codes: C51 E32 E41 F31 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2005-06-09
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-his, nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Chapter: Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2005_02

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