Home bias and the persistence of real exchange rates

被引：4
作者：
Chen, Show-Lin [1 ]
Wu, Jyh-Lin [2 ]
机构：
[1] Fu Jen Catholic Univ, Dept Econ, Taipei 242, Taiwan
[2] Natl Sun Yat Sen Univ, Inst Econ, Kaohsiung 804, Taiwan
来源：
ECONOMIC MODELLING | 2011年 / 28卷 / 1-2期
关键词：
Home bias; Real exchange rates; Half-life; Local projections; PURCHASING-POWER-PARITY; UNIT-ROOT;
D O I：
10.1016/j.econmod.2010.09.025
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the half-life of real exchange rates after taking into account the impact of home bias. Empirical results indicate that the half-life of real exchange rates is in the range of 1.5 to 2 years for four out of five countries after controlling the impact of home bias. These results support Obstfeld and Rogoffs (2000, NBER Macroeconomics Annual) view that home bias is crucial in explaining the PPP puzzle. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved.
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页码：55 / 59
页数：5
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