A nonparametric study of real exchange rate persistence over a century ¬リニ
نویسندگان
چکیده
Article history: Received 15 May 2014 Received in revised form 14 January 2015 Accepted 14 January 2015 Available online 22 January 2015 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. © 2015 Elsevier Inc. All rights reserved. JEL classification: C14 C15 C22 F31 F41
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