Nonlinearities or outliers in real exchange rates?

详细信息	查看全文 | 推荐本文 |

• 作者：Antonia L&#xf3 ; pez Villavicencio
• 关键词：Real exchange rate ; Outliers ; Smooth transition autoregressive models ; Robust estimation
• 刊名：Economic Modelling
• 出版年：2008
• 期刊代码：7_02649993
• 类别：eco
• 出版时间：July 2008
• 卷：25
• 期：4
• 页码：714-730
• 文件大小：781 K

摘要

Long-lasting misalignments in the real exchange rates are sometimes explained by the presence of a nonlinear adjustment process towards the long-run equilibrium. However, while it is possible that evidence of nonlinearity exists for some real exchange rates, outliers and nonlinearity may easily be confused. This paper uses robust methods to examine and compare the behaviour of Smooth Transition Autoregressive [STAR] models for the real exchange rates of 14 countries. The results show that the evidence for nonlinearity is reduced when considering outliers. Nonlinearity is also more common among developing economies.