Long-run versus short-run behaviour of the real exchange rates

Detalhes bibliográficos
Autor(a) principal: Costa, António A.
Data de Publicação: 2001
Outros Autores: Crato, Nuno
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27680
Resumo: This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period.
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spelling Long-run versus short-run behaviour of the real exchange ratesExchange RatesPrice IndicesRegression EstimatedAEFIMA ModelsPortugalThis paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period.Taylor & FrancisRepositório da Universidade de LisboaCosta, António A.Crato, Nuno2023-04-28T20:02:34Z20012001-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27680engCosta, António A. and Nuno Crato .(2001). “Long-run versus short-run behaviour of the real exchange rates”. Applied Economics, Vol. 33, No. 5: pp. 683-688. (Search PDF in 2023).1466-4283 (Online)10.1080/00036840122409info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-30T01:31:00Zoai:www.repository.utl.pt:10400.5/27680Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:29.408660Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Long-run versus short-run behaviour of the real exchange rates
title Long-run versus short-run behaviour of the real exchange rates
spellingShingle Long-run versus short-run behaviour of the real exchange rates
Costa, António A.
Exchange Rates
Price Indices
Regression Estimated
AEFIMA Models
Portugal
title_short Long-run versus short-run behaviour of the real exchange rates
title_full Long-run versus short-run behaviour of the real exchange rates
title_fullStr Long-run versus short-run behaviour of the real exchange rates
title_full_unstemmed Long-run versus short-run behaviour of the real exchange rates
title_sort Long-run versus short-run behaviour of the real exchange rates
author Costa, António A.
author_facet Costa, António A.
Crato, Nuno
author_role author
author2 Crato, Nuno
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Costa, António A.
Crato, Nuno
dc.subject.por.fl_str_mv Exchange Rates
Price Indices
Regression Estimated
AEFIMA Models
Portugal
topic Exchange Rates
Price Indices
Regression Estimated
AEFIMA Models
Portugal
description This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period.
publishDate 2001
dc.date.none.fl_str_mv 2001
2001-01-01T00:00:00Z
2023-04-28T20:02:34Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27680
url http://hdl.handle.net/10400.5/27680
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Costa, António A. and Nuno Crato .(2001). “Long-run versus short-run behaviour of the real exchange rates”. Applied Economics, Vol. 33, No. 5: pp. 683-688. (Search PDF in 2023).
1466-4283 (Online)
10.1080/00036840122409
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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