期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2007
卷号：2007
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper examines whether the behaviour of the real exchange rate is
associated with a particular regime for the nominal exchange rate, like fixed
and flexible exchange rate arrangements. The analysis is based on 16 annual real
exchange rates and covers a long time span, 1870-2006. Four subperiods are
distinguished and linked to exchange rate regimes: the Gold Standard, the
interwar float, the Bretton Woods system and the managed float thereafter. Panel
integration techniques are applied to increase the power of the tests. Cross
section correlation is embedded via common factor structures. The evidence shows
that real exchange rates properties are affected by the exchange rate regime,
although the impact is not very strong. A unit root is rejected in both fixed
and flexible exchange rate systems. Regarding fixed-rate systems, mean reversion
of real exchange rates is more visible for the Gold Standard. The half lives of
shocks have increased after WWII, probably due to a higher stickiness of prices
and a lower weight of international trade in the determination of exchange
rates. Both for the periods before and after WWII, half lives are lower in
flexible regimes. This suggests that the nominal exchange rate plays some role
in the adjustment process towards PPP.
关键词：Real exchange rate persistence, exchange rate regime, panel unit roots
