English, Article, Journal or magazine article edition: Nominal Exchange Rate Regimes and the Real Exhange Rate, Evidence from the U.S. and Britain, 1885-1986 Vittorio U. Grilli; Graciela Kaminsky

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Bookmark: http://trove.nla.gov.au/version/140901
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nominal Exchange Rate Regimes and the Real Exhange Rate, Evidence from the U.S. and Britain, 1885-1986
Author
  • Vittorio U. Grilli
  • Graciela Kaminsky
Physical Description
  • preprint
Notes
  • Two propositions are common in the international finance literature: (1) the real exchange rate is a randoM walk, (2) the real exchange rate time series properties essentially depend on the nominal exchange rate regime. The first proposition has been used in support of the claim that PPP cannot even be considered a long run relationship since deviations from it are permanent in nature. The second proposit i on has been used as evidence of price stickiness. Contrary to the first proposition, this paper presents evidence that the random walk behavior of the real exchange rate is just a characteristic of the post-WWII period, while in the prewar period we observe the presence of transitory fluctuations. Also, although real exchange rate volatility appears to be different between fixed and flexible exchange rate regimes, these differences are not as systematic and large as the postwar data suggest.
  • RePEc:nbr:nberwo:3067
Language
  • English
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