Non-linearity versus non-normality in real exchange rate dynamics
โ Scribed by Michael G. Arghyrou; Andros Gregoriou
- Book ID
- 116421979
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 142 KB
- Volume
- 100
- Category
- Article
- ISSN
- 0165-1765
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shape
A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths, resorting