Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?

Using data since 1820 for the US, the UK and France, we test for the presence of real effects on the equilibrium real exchange rate (the HarrodBalassa-Samuelson, HBS effect) in an explicitly nonlinear framework and allowing for shifts in real exchange rate volatility across nominal regimes. A statistically signi&cant HBS effect for sterling-dollar captures its longrun trend and explains a proportion of variation in changes in the real rate that is proportional to the time horizon of the change. There is signi&cant evidence of nonlinear reversion towards long-run equilibrium and downwards shifts in volatility during &xed nominal exchange rate regimes.


Issue Date:
Oct 21 2006
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/269738
Language:
English
Total Pages:
38
JEL Codes:
F31; F41; C1




 Record created 2018-03-21, last modified 2018-03-21

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