کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964313 930506 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates
چکیده انگلیسی

The recent literature on Purchasing Power Parity (PPP) has emphasized the role of two phenomena that may lead to the rejection of the PPP hypothesis: structural breaks and non-linear adjustment induced by transaction costs. These two hypotheses are analyzed separately in the literature. We develop tests for unit roots that account jointly for structural breaks and non-linear adjustment. Structural breaks are modeled by means of a Fourier function that allows for infrequent smooth temporary mean changes and is hence compatible with long-run PPP. Nonlinear adjustment is modeled by means of an ESTAR model. Our tests present good finite sample properties. The tests are applied to a set of 15 OECD countries' RERs and are able to reject the null of a unit root in 14 cases. The breaks are usually associated with the great appreciation and later depreciation of the dollar in the 1980s and the ESTAR adjustment appears to play an important role.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 29, Issue 6, October 2010, Pages 1076–1093
نویسندگان
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