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Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP)\ does not hold for sixteen real exchange rate series, analyzed in Diebold, Husted, and Rush (1991) for the period 1792-1913, under the Gold Standard. Rather, purchasing...

Persistent link: https://www.econbiz.de/10005731386

TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT

Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on\ estimates of ESTAR …, the autoregressive structure of some monthly ESTAR estimates found in the literature is suggestive that adjustment speeds …

Persistent link: https://www.econbiz.de/10005731439

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …

Persistent link: https://www.econbiz.de/10011523710

A Nonparametric Study of Real Exchange Rate Persistence over a Century

Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2014

This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...

Persistent link: https://www.econbiz.de/10011094585

A Nonparametric Study of Real Exchange Rate Persistence over a Century

Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013

Persistent link: https://www.econbiz.de/10010862348

Real Exchange Rate Adjustment In European Transition Countries

Maican, Florin G.; Sweeney, Richard J. - Nationalekonomiska institutionen, Handelshögskolan - 2006

This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes,...

Persistent link: https://www.econbiz.de/10005651623

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

prevailing time series models, i.e. the exponential smooth transition autoregressive (ESTAR) model and the Markov switching …

Persistent link: https://www.econbiz.de/10008908972

Nonlinear PPP Deviations : A Monte Carlo Investigation of Their Unconditional Half-Life

Lo, Ming Chien - 2006

Recent research has generated support to the notion that the real exchange rate adjustment is nonlinear and that the PPP half-life is faster than the puzzling 3 to 5 years based on linear models. While different nonlinear models survive the specification tests against linear ones, there is...

Persistent link: https://www.econbiz.de/10012732567

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and...

Persistent link: https://www.econbiz.de/10013044515

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

degrees of persistence and different outlier magnitudes. For uncontaminated series and a small sample size the performance of … increasing number of observations the size of SIC and WIC tends to zero. In contaminated series the size of the test and of the … sample size and on the difference between the regimes. The more distinct the regimes and the larger the sample, the higher is …

Persistent link: https://www.econbiz.de/10011521180