Real exchange rates and real interest differentials for sectoral data: A dynamic SUR approach
β Scribed by Jaebeom Kim
- Book ID
- 116421716
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 133 KB
- Volume
- 97
- Category
- Article
- ISSN
- 0165-1765
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This paper reexamines the convergence issue by contrasting the half-lives of deviations from purchasing power parity across traded and nontraded goods in real exchange rate models with nonlinear dynamics. More specifically, we employ the exponential smooth transition autoregressive model to investig
## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the longβrun absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.