Grossmann, Axel; Simpson, Marc; Ozuna, Teofilo - In: Journal of Economics and Finance 38 (2014) 2, pp. 235-268
-deflator. This mean reverting behavior is slightly improved if one takes international interest rate differentials into account …-Plaza Accord period average half-lives of less than 1 year are reported using TPI-based EERs, adjusted by interest rate … differentials. For large misalignments, we find probabilities that the spot exchange rate will converge towards the constructed CPI …