A nonparametric study of real exchange rate persistence over a century

Hyeongwoo Kim () and Deockhyun Ryu

International Review of Economics & Finance, 2015, vol. 37, issue C, 406-418

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. Our results are robust to the choice of bandwidth with a few exceptions.

Keywords: Real exchange rate; Purchasing power parity; Short memory in mean; Short-memory in distribution; ϕ-Mixing (search for similar items in EconPapers)
JEL-codes: C14 C15 C22 F31 F41 (search for similar items in EconPapers)
Date: 2015
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Related works:
Working Paper: A Nonparametric Study of Real Exchange Rate Persistence over a Century (2014)
Working Paper: A Nonparametric Study of Real Exchange Rate Persistence over a Century (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:37:y:2015:i:c:p:406-418

DOI: 10.1016/j.iref.2015.01.003

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