Nonlinearities and Real Exchange Rate Dynamics
نویسندگان
چکیده
We con...rm the presence of substantial non-linearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not pro...table because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector speci...c real exchange rates, conditional on the existence of arbitrage as implied by our non-linear estimations, and relate them to plausible economic determinants such as tradability and exchange rate volatility.
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