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Dornsbush revisited from an asymmetrical perspective: Evidence from G20 nominal effective exchange rates

Abstract : This paper develops an asymmetrical overshooting correction autoregressive model to capture excessive nominal exchange rate variation. It is based on the widely accepted perception that open economies might prefer under-evaluation to over-evaluation of their currency so as to foster their net exports. Our approach departs from existing works by allowing the strength of the overshooting correction mechanism to differ between over-depreciations and over-appreciations. It turns out that most of monthly effective exchange rates for the G20 countries are in fact well characterized by an overshooting correction after an over-appreciation only.
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https://hal.archives-ouvertes.fr/hal-02318767
Contributor : Frédérique Bec Connect in order to contact the contributor
Submitted on : Thursday, October 17, 2019 - 2:07:08 PM
Last modification on : Wednesday, November 3, 2021 - 8:08:46 AM
Long-term archiving on: : Saturday, January 18, 2020 - 2:18:20 PM

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  • HAL Id : hal-02318767, version 1

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Frédérique Bec, Mélika Ben Salem. Dornsbush revisited from an asymmetrical perspective: Evidence from G20 nominal effective exchange rates. 2019. ⟨hal-02318767⟩

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