Nonlinearities in the real exchange rates: new evidence from developed and developing countries

被引：2

作者：

Ahmad, Yamin ^{[1
]}

Lo, Ming Chien ^{[2
]}

Staveley-O'Carroll, Olena ^{[3
]}

机构：

[1] Univ Wisconsin, Dept Econ, Whitewater, WI 53190 USA

[2] Metropolitan State Univ, Coll Management, Minneapolis, MN USA

[3] Coll Holy Cross, Dept Econ & Accounting, 1 Coll St, Worcester, MA 01610 USA

来源：

APPLIED ECONOMICS | 2019年 / 51卷 / 25期

关键词：

Real exchange rate dynamics; nonlinear dynamics; smooth transition estimation; Monte Carlo analysis; PURCHASING POWER PARITY; BUSINESS CYCLES; ADJUSTMENT; MARKET; INTERVENTION; INFLATION;

D O I：

10.1080/00036846.2018.1558354

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Terasvirta-Anderson test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we show that a modified nonlinearity test, which includes additional right-hand-side variables, performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange rate for both developed and developing countries using the modified test for the recent floating period. In general, the results find a greater incidence of nonlinear dynamics for developing country real exchange rates.

引用

页码：2731 / 2743

页数：13

共 30 条

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