Stochastic behaviour of the real exchange rate for Jordan: a re-examination
β Scribed by Bolatoglu, Nasip; Telatar, Funda; Telatar, Erdinc
- Book ID
- 120000874
- Publisher
- Taylor and Francis Group
- Year
- 2009
- Tongue
- English
- Weight
- 120 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1350-4851
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π SIMILAR VOLUMES
## 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.
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the coecients relating the ex ante real rate to the nominal rate, the inΒ―ation rate and a supply shock variable and (2) unconditi