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A nonparametric study of real exchange rate persistence over a century
- Authors
- Kim, Hyeongwoo; Ryu, Deockhyun
- Issue Date
- May-2015
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Real exchange rate; Purchasing power parity; Short memory in mean; Short-memory in distribution; phi-Mixing
- Citation
- INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, v.37, pp 406 - 418
- Pages
- 13
- Journal Title
- INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
- Volume
- 37
- Start Page
- 406
- End Page
- 418
- ISSN
- 1059-0560
1873-8036
- 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. (C) 2015 Elsevier Inc. All rights reserved.
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