EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105905601500009X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Nonparametric Study of Real Exchange Rate Persistence over a Century (2014) Downloads
Working Paper: A Nonparametric Study of Real Exchange Rate Persistence over a Century (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-07-30
Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:406-418