English, Article, Journal or magazine article edition: Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling Sophie Bereau; Antonia Lopez Villavicencio; Valerie Mignon

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Bookmark: http://trove.nla.gov.au/version/159119
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling
Author
  • Sophie Bereau
  • Antonia Lopez Villavicencio
  • Valerie Mignon
Physical Description
  • preprint
Notes
  • We study the nonlinear dynamics of the real exchange rate towards its behavioral equilibrium value (BEER) using a Panel Smooth Transition Regression model framework.We show that the real exchange rate convergence process in the long run is characterized by nonlinearities for emerging economies, whereas industrialized countries exhibit a linear pattern. Moreover, there exists an asymmetric behavior of the real exchange rate when facing an over- or an undervaluation of the domestic currency. Finally, our results suggest that the real exchange rate is unable to unwind alone global imbalances.
  • Equilibrium exchange rate; BEER model; panel smooth transition regression; panel vector error correction model
  • RePEc:cii:cepidt:2008-23
Language
  • English
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