A Nonparametric Study of Real Exchange Rate Persistence over a Century

Hyeongwoo Kim () and Deockhyun Ryu

No auwp2013-08, Auburn Economics Working Paper Series from Department of Economics, Auburn University

Abstract: 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 memory in distribution (SMD). We found substantially shorter maximum half-life (MHL) estimates than the counterpart from linear models, which is robust to the choice of bandwidth with exceptions of Canada and Japan.

Keywords: Real Exchange Rate; Purchasing Power Parity; Short Memory in Mean; Short-Memory in Distribution; mixing; Max Half-Life; Max Quarter-Life (search for similar items in EconPapers)
JEL-codes: C14 C15 C22 F31 F41 (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-ets, nep-his, nep-mon and nep-opm
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Related works:
Journal Article: A nonparametric study of real exchange rate persistence over a century (2015)
Working Paper: A Nonparametric Study of Real Exchange Rate Persistence over a Century (2014)
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