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

M Camarero, Javier Ordóñez Montfort

Research output: Contribution to journalArticle

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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.
LanguageEnglish
Pages444-449
Number of pages6
JournalEconomic Modelling
Volume29
Issue number2
DOIs
StatusPublished - Mar 2012

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Nonlinear adjustment
Exchange rates
Productivity
Mean reversion
Undervaluation
Overvaluation
Testing
Real exchange rate

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Nonlinear adjustment in the real dollar-euro exchange rate: the role of the productivity differential as a fundamental. / Camarero, M; Ordóñez Montfort, Javier.

In: Economic Modelling, Vol. 29, No. 2, 03.2012, p. 444-449.

Research output: Contribution to journalArticle

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