THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION

被引：2
|
作者：
Kaufmann, Hendrik [1 ]
Heinen, Florian [1 ]
Sibbertsen, Philipp [1 ]
机构：
[1] Leibniz Univ Hannover, Sch Econ & Management, Inst Stat, D-30167 Hannover, Germany
来源：
JOURNAL OF APPLIED ECONOMETRICS | 2014年 / 29卷 / 05期
关键词：
PURCHASING POWER PARITY; UNIT-ROOT; TIME-SERIES; MODELS; DEVIATIONS; FORECAST; TESTS;
D O I：
10.1002/jae.2336
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates. Copyright (C) 2013 John Wiley & Sons, Ltd.
引用
收藏
页码：758 / 773
页数：16
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