Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209849
Authors: 
Akram, Q. Farooq
Eitrheim, Øyvind
Sarno, Lucio
Year of Publication: 
2005
Series/Report no.: 
Working Paper No. 2005/2
Abstract: 
We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been compiled and covers the period 1830-2003. We apply multivariate linear and smooth transition regression models proposed by Teräsvirta (1998) to capture broad trends, and take into account non-linear features of the time series. We particularly investigate and characterise the form of the relationship between output and monetary policy variables. It appears that allowance for statedependent behaviour and response to shocks increases the explanatory powers of the models and helps bring forward new aspects of the dynamic behaviour of output, the real exchange rate and real money balances.
Subjects: 
business cycles
real exchange rates
money demand
non-linear modelling
smooth transition regressions
JEL: 
C51
E32
E41
F31
Persistent Identifier of the first edition: 
ISBN: 
82-7553-295-7
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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