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Nonlinear adjustment in the real dollar-euro exchange rate: the role of the productivity differential as a fundamental


Reference:

Camarero, M. and Ordóñez Montfort, J., 2012. Nonlinear adjustment in the real dollar-euro exchange rate: the role of the productivity differential as a fundamental. Economic Modelling, 29 (2), pp. 444-449.

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Official URL:

http://dx.doi.org/10.1016/j.econmod.2011.12.005

Abstract

In this paper we analyze the influence of productivity differentials in the dynamics of the real dollar-euro exchange rate. Using nonlinear procedures for the estimation and testing of ESTAR models during the period 1970-2009 we find that the dollar-euro real exchange rate shows nonlinear mean reversion towards the fundamentals represented by the productivity differential. In addition, we provide evidence about the ability of this variable to capture the overvaluation and undervaluation of the dollar against the euro.

Details

Item Type Articles
CreatorsCamarero, M.and Ordóñez Montfort, J.
DOI10.1016/j.econmod.2011.12.005
DepartmentsFaculty of Humanities & Social Sciences > Economics
RefereedYes
StatusPublished
ID Code27825

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