Change in the persistence of the real exchange rates
2010; Taylor & Francis; Volume: 18; Issue: 2 Linguagem: Inglês
10.1080/13504850903508333
ISSN1466-4291
AutoresSergio Gabas, María Dolores Gadea Rivas, Antonio Montañés,
Tópico(s)Market Dynamics and Volatility
ResumoWe investigate the existence of multiple structural changes in the persistence of a broad sample of Real Exchange Rate (RER) using a new methodology proposed by Kejriwal et al. (2009 Kejriwal, M., Perron, P. and Zhou, J. 2009. “Wald tests for detecting multiple structural changes in persistence”. In Mimeo, Boston: Boston University. [Google Scholar]). The application of this procedure shows that RER persistence has been unstable during the twentieth century. Yoon (2009 Yoon, G. 2009. Are real exchange rates more likely to be stationary during the fixed nominal exchange rate regimes?. Applied Economics Letters, 16: 17–22. [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) reaches the noteworthy conclusion that stationary RERs are more likely to be found in fixed nominal exchange rate regimes than in floating ones. Nevertheless, we find no support for this conclusion when the deterministic trend is withdrawn from the equation specification and the sample is extended by a decade with data belonging to the current float.
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