کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963252 930284 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Further on nonlinearity, persistence, and integration properties of real exchange rates
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Further on nonlinearity, persistence, and integration properties of real exchange rates
چکیده انگلیسی
Integration, nonlinearity, and persistence dynamics of several quarterly US-Dollar-denominated real exchange rates are investigated by using new unit root tests, simulated p-values for linearity tests, estimation of smooth transition autoregressive (STAR) models, and simulation of autocorrelation functions. This paper uses a simulation-based approach to study covariance stationarity and persistence dynamics of the estimated models. Findings in the paper provide evidence of nonlinear mean reversion for several series albeit with some persistence. Results also reveal considerable variation in the degree of persistence and timing of switches across extreme regimes in ESTAR models between Euro and non-Euro area currencies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 19, Issue 2, April 2009, Pages 207-221
نویسندگان
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