Nonlinearities or outliers in real exchange rates?

被引：10

作者：

Villavicencio, Antonia Lopez ^{[1
]}

机构：

[1] Univ Paris 10, F-92001 Nanterre, France

来源：

ECONOMIC MODELLING | 2008年 / 25卷 / 04期

关键词：

real exchange rate; outliers; smooth transition autoregressive models; robust estimation;

D O I：

10.1016/j.econmod.2007.11.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Long-lasting misalignments in the real exchange rates are sometimes explained by the presence of a nonlinear adjustment process towards the long-run equilibrium. However, while it is possible that evidence of nonlinearity exists for some real exchange rates, outliers and nonlinearity may easily be confused. This paper uses robust methods to examine and compare the behaviour of Smooth Transition Autoregressive [STAR] models for the real exchange rates of 14 countries. The results show that the evidence for nonlinearity is reduced when considering outliers. Nonlinearity is also more common among developing economies. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：714 / 730

页数：17

共 38 条

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