Template-Type: ReDIF-Paper 1.0
Author-Name: Juan Carlos Cuestas
Author-Name: Estefania Mourelle
Title: Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?
Abstract: In this paper we aim at modelling the long run behaviour of the Real Effective Exchange Rates (REER) for a pool of African countries. Not much attention has
been paid to this group of countries, in particular, to the existence of nonlinearities
in the long run path of such a variable. Controlling for two sources of nonlinearites,
i.e. asymmetric adjustment to equilibrium and nonlinear deterministic trends allows
us to gain some insight about the behaviour of the African REER. We find that
these sources of nonlinearites help us to explain the apparent unit root behaviour
found applying linear unit root tests for most of the countries.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0019/310294/Nonlinearites-in-real-exchange-rate-determination.pdf
File-Format: Application/pdf
File-Function: First version, 2008
Creation-Date:  2008-07
Classification-JEL: C32, F15
Keywords: PPP, Real Exchange Rates, Unit roots, Nonlinearities.
Handle: RePEc:nbs:wpaper:2008/8