کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055664 1371496 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
چکیده انگلیسی

This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the US Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three step testing procedure based on recently introduced econometric techniques, in order to assess the mean-reverting properties of the RER and to address the question of whether real exchange rates follow a non linear process or a long memory process.The main results are as follows. Firstly, most of the bilateral real exchange rates under study are not mean-reverting. Secondly, the nonlinear ESTAR type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties.

Research Highlights► This article uses a broader set of countries than the set considered in the literature: it thus considers monthly data on 78 CPI-based bilateral real exchange rates of industrialized and developing economies, over the period 1970-2006. ► For each currency, it considers three bilateral nominal exchange rates, the numeraire being alternatively US Dollar, UK Pound and German Mark. ► It uses recent econometric techniques to detect long-memory process or short-memory process with structural breaks. ► The sequential testing strategy consists of three steps, then we compute impulse-response functions in order to evaluate half-lives for the true long memory mean-reverting bilateral RER. ► The main results are as follows. Firstly, most of the bilateral RER appear to be non mean-reverting processes. Secondly, the nonlinear Exponential Smooth Transition Auto-Regressive (ESTAR) type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties. For these true long-memory processes, the half-lives are found to lie between 1 month and 6 years.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 28, Issue 3, May 2011, Pages 1279-1290
نویسندگان
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