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Structural breaks in the real exchange rate adjustment mechanism
- DOI:
- 10.1080/09603100701765216
pages 121-134
Available online: 14 Jan 2009Abstract
We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al. (200316.
Lundbergh , S , Terasvirta , T and van Dijk , D . 2003 . Time-varying smooth transition autoregressive models . Journal of Business and Economic Statistics , 21 : 104 – 21 .
[Taylor & Francis Online], [Web of Science ®]
View all references), we show that the real exchange rate process shifted in the aftermath of Black Wednesday in the case of pound, in 1984/85 in the case of franc and, more tentatively, during the Asian crisis of 1997/98 in the case of yen.
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- Available online: 14 Jan 2009
Author affiliations
- a Cardiff Business School, Cardiff University, Cardiff, CF10 3EU, UK
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