English, Article, Journal or magazine article edition: Real Exchange Rates and Time-Varying Trade Costs David Peel; Ivan Paya; E Pavlidis

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Real Exchange Rates and Time-Varying Trade Costs
Author
  • David Peel
  • Ivan Paya
  • E Pavlidis
Physical Description
  • preprint
Notes
  • Previous empirical work on the Purchasing Power Parity does not explicitly account for time-varying trade costs. Motivated by the recent gravity literature we incorporate a microfounded measure of trade costs into two nonlinear regression models for the real exchange rate. Using data for the dollar-sterling real exchange rate from 1830 to 2005, we provide significant evidence in favor of a positive relation between the level of trade costs and the degree of persistence of the real exchange rate.
  • Real Exchange Rates, Time-Varying Trade Costs, Smooth Transition Nonlinearity, Persistence, Simulation Methods
  • RePEc:lan:wpaper:006028
Language
  • English
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