NON-LINEARITIES IN THE RELATION BETWEEN THE EXCHANGE RATE AND ITS FUNDAMENTALS

被引：10

作者：

Altavilla, Carlo ^{[1
]}

De Grauwe, Paul ^{[2
]}

机构：

[1] Univ Naples Federico 2, I-80138 Naples, Italy

[2] Catholic Univ Leuven, Louvain, Belgium

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2010年 / 15卷 / 01期

关键词：

Non-linearity; Markov-switching model; fundamentals; COINTEGRATION VECTORS; AUTOREGRESSIVE MODELS; NUISANCE PARAMETER; BUSINESS-CYCLE; TIME-SERIES; REGIMES; TESTS; EQUILIBRIUM; ADJUSTMENT; MARKET;

D O I：

10.1002/Ijfe.384

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a simple theoretical model in which chartists and fundamentalists interact. The model predicts the existence of different regimes, and thus non-linearities in the link between the exchange rate and its fundamentals. We test the model empirically by adopting a Markov-switching vector error correction model. The results suggest the presence of non-linear mean reversion in the nominal exchange rate process. The implications are that different sets of macroeconomic fundamentals act as driving forces of the exchange rates during different time periods. Copyright (C) 2008 John Wiley & Sons, Ltd.

引用

页码：1 / 21

页数：21

共 44 条

[1]

Anderson S.P., 1992, Discrete Choice Theory of Product Differentiation, DOI 10.7551/mitpress/2450.001.0001

[2] COINTEGRATION AND MODELS OF EXCHANGE-RATE DETERMINATION [J].