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What do we know about real exchange rate non-linearities?

Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas; … - School of Economics and Management, University of Aarhus - 2009

roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit … means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has …

Persistent link: https://www.econbiz.de/10008577799

THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS

Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and … tests against a variety of nonstationary hypotheses. We also fit the ESTAR model to data from high inflation economies. Our … results provide further support for ESTAR specification. …

Persistent link: https://www.econbiz.de/10005731239

A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994

Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

original structure of the estimated residuals and obtain new critical values of the coefficient estimates. A nonlinear (ESTAR …

Persistent link: https://www.econbiz.de/10005731369

NONLINEAR PPP UNDER THE GOLD STANDARD

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