A nonparametric study of real exchange rate persistence over a century
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Hyeongwoo | - |
dc.contributor.author | Ryu, Deockhyun | - |
dc.date.available | 2019-03-08T17:38:59Z | - |
dc.date.issued | 2015-05 | - |
dc.identifier.issn | 1059-0560 | - |
dc.identifier.issn | 1873-8036 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/9623 | - |
dc.description.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. | - |
dc.format.extent | 13 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | A nonparametric study of real exchange rate persistence over a century | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.iref.2015.01.003 | - |
dc.identifier.bibliographicCitation | INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, v.37, pp 406 - 418 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000355369500029 | - |
dc.identifier.scopusid | 2-s2.0-84939990819 | - |
dc.citation.endPage | 418 | - |
dc.citation.startPage | 406 | - |
dc.citation.title | INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | - |
dc.citation.volume | 37 | - |
dc.type.docType | Article | - |
dc.publisher.location | 네델란드 | - |
dc.subject.keywordAuthor | Real exchange rate | - |
dc.subject.keywordAuthor | Purchasing power parity | - |
dc.subject.keywordAuthor | Short memory in mean | - |
dc.subject.keywordAuthor | Short-memory in distribution | - |
dc.subject.keywordAuthor | phi-Mixing | - |
dc.subject.keywordPlus | PURCHASING-POWER-PARITY | - |
dc.subject.keywordPlus | ONE PRICE | - |
dc.subject.keywordPlus | NONLINEAR ADJUSTMENT | - |
dc.subject.keywordPlus | MEAN-REVERSION | - |
dc.subject.keywordPlus | PUZZLE | - |
dc.subject.keywordPlus | DEVIATIONS | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordPlus | LAW | - |
dc.subject.keywordPlus | AGGREGATION | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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