Nonlinearity and Harrod–Balassa–Samuelson Effects in Real Exchange Rates over the Past Two Centuries

This dataset accompanies Taylor (2026), "Nonlinearity and Harrod–Balassa–Samuelson Effects in Real Exchange Rates over the Past Two Centuries." The research question is whether the nonlinear mean reversion and productivity-anchored long-run equilibrium documented by Lothian and Taylor (2008) for sterling–dollar and sterling–franc survive an extension of the data to 2022 and generalise to other sterling bilateral real exchange rates over two centuries.

The data support an affirmative answer. Estimated on these series, an exponential smooth-transition (ESTAR) model with a Harrod–Balassa–Samuelson (HBS) productivity term shows nonlinear adjustment in all five pairs and a statistically significant HBS effect in four of the five — the exception being sterling–franc/euro, where the productivity coefficient is small and insignificant and is restricted to zero, as in the original study. The HBS slopes are largest where cross-country productivity differentials have been largest and most persistent.

The dataset comprises two files. Taylor2026_estimation_series.csv is the estimation-ready annual panel underlying Tables 1 and 2: five sterling bilateral real exchange rates — against the US dollar, French franc/euro, Japanese yen, Australian dollar, and Canadian dollar — at annual frequency over 1819–2022, in wide format with one row per year. For each pair it reports the log real sterling exchange rate (q = s + p_UK − p_i), demeaned over the estimation sample; the HBS fundamental (d), a three-year trailing moving average of the UK-minus-partner log real GDP per capita differential, also demeaned; and a de facto fixed-regime indicator (fix; 1 = fixed, 0 = floating). Cells are blank in years before a pair's sample begins.

The series were assembled from established sources. Sterling–dollar and sterling–franc/euro extend the Lothian and Taylor (1996, 2008) data, spliced to IMF International Financial Statistics producer price indices at the 2001 overlap and continued to 2022 (the post-1998 franc rate constructed at the irrevocable euro conversion rate). The yen, Australian dollar, and Canadian dollar series are from the Global Macro Database (Mueller, Xu, Lehbib and Chen, 2025), using the implicit GDP deflator. The fixed/floating classification follows gold-standard chronologies with Obstfeld, Shambaugh and Taylor (2004) and Shambaugh (2004).

To interpret and reuse the data: q and d are already demeaned, so an estimated equilibrium constant is normalised out; the series reproduce the maximum-likelihood ESTAR–HBS estimates in Table 1 and the horizon regressions in Table 2 directly. README_estimation_series.txt documents the variable scheme, per-pair sample windows and estimation sample sizes (T = 203, 203, 146, 199, 149), construction details, and full source references.