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A Nonparametric Measure of Convergence Toward Purchasing Power Parity

Shintani, Mototsugu - Vanderbilt University Department of Economics - 2002

It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical...

Persistent link: https://www.econbiz.de/10005459256

The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests

Chortareas, Georgios; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

The empirical literature that tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The yen real exchange rate behavior, as compared to other major currencies, has most stubornly challenged the PPP hypothesis...

Persistent link: https://www.econbiz.de/10005106476

Analyzing aggregate real exchange rate persistence through the lens of sectoral data

Mayoral, Laura; Gadea, Maréa Dolores - Barcelona Graduate School of Economics (Barcelona GSE) - 2009

In this paper we analyze the persistence of aggregate real exchange rates (RERs) for a group of EU-15 countries by … using sectoral data. The tight relation between aggregate and sectoral persistence recently investigated by Mayoral (2008 …) allows us to decompose aggregate RER persistence into the persistence of its different subcomponents. We show that the …

Persistent link: https://www.econbiz.de/10010547246

If Nonlinear Models Cannot Forecast, What Use Are They?

Ramsey, James B. - C.V. Starr Center for Applied Economics, Department of … - 1995

Persistent link: https://www.econbiz.de/10005264286

Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...

Persistent link: https://www.econbiz.de/10010322440

Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - Magyar Nemzeti Bank (MNB) - 2010

over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...

Persistent link: https://www.econbiz.de/10008694353

Does the purchasing power parity hypothesis hold after 1998?

Zanetti Chini, Emilio - Volkswirtschaftliche Fakultät, … - 2010

We investigate the empirical support to the Purchasing Power Parity hypothesis by using sixteen real exchange rates for the decade 1999-2009. The literature has recently arrived to a solution to the two PPP puzzles if considering the post-Bretton Woods period from 1975 to 1998. Time series-based...

Persistent link: https://www.econbiz.de/10008753101

Fiscal deficits and mean reversion in real exchange rates

Gu, Jingping; Li, Qi; Yang, Jian - In: Economics Letters 118 (2013) 2, pp. 300-303

The mean reversion of real exchange rates in G5 countries depends on both countries’ fiscal deficits/surplus in a nonlinear way. When the fiscal policy pushes the real exchange rate to be deviated further away from the equilibrium level, the mean reversion process is faster.

Persistent link: https://www.econbiz.de/10010608078

On Identifying the Core of EMU: An Exploration of Some Empirical Criteria

Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997

The paper reports strikingly high correlations of the cyclical components of industrial production between the participant countries in the ERM. Supplementing these correlations with criteria based on real exchange rate volatility, trade and monetary policy conformity, cluster analysis is used...

Persistent link: https://www.econbiz.de/10005123757

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011755281

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