ARE THERE NON-LINEARITIES IN US: LATIN AMERICAN REAL EXCHANGE BEHAVIOR *

Mark J. Holmes

10 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Economic Theory and Policy

Abstract

This study tests for non-linearities in the behavior of US dollar real exchange rates of thirteen Latin American countries. For this purpose, logistic and exponential smooth transition regression models are applied to quarterly data over the sample period 1973Q2-2001Q1. There is evidence of non-linearities in the behavior of seven real exchange rates where, in most of these cases, non-linearities are captured by the logistic smooth transition autoregressive model. The extent of non-linearities varies across Latin American countries with Colombia and Venezuela exhibiting the sharpest transition between regimes of low and high real exchange rates.

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1996The Purchasing Power Parity Puzzle 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited 2002A Century of Purchasing-Power Parity 1995The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity

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