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Cuestas, Juan Carlos; Mourelle, Estefania (2009)
Publisher: United States of America
Types: Article
Subjects: Economics, Wirtschaft, Volkswirtschaftslehre, Wirtschaftsstatistik, ├ľkonometrie, Wirtschaftsinformatik, Political Economy, Social Sciences & Humanities, PPP; Real Exchange Rate; Unit Roots; Nonlinearities, Economic Statistics, Econometrics, Business Informatics
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. (Cuestas, Juan Carlos) (Mourelle, Estefania) Nottingham Trent University, Economics - Burton Street--> - NG1 4BU - Nottingham - UNITED KINGDOM (Cuestas, Juan Carlos) UNITED KINGDOM (Cuestas, Juan Carlos) Universidad de la Coruna - La Coruna - SPAIN (Mourelle, Estefania) SPAIN UNITED KINGDOM
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