Further on nonlinearity, persistence, and integration properties of real exchange rates
AbstractIntegration, nonlinearity, and persistence dynamics of several quarterly US-Dollar-denominated real exchange rates are investigated by using new unit root tests, simulated p-values for linearity tests, estimation of smooth transition autoregressive (STAR) models, and simulation of autocorrelation functions. This paper uses a simulation-based approach to study covariance stationarity and persistence dynamics of the estimated models. Findings in the paper provide evidence of nonlinear mean reversion for several series albeit with some persistence. Results also reveal considerable variation in the degree of persistence and timing of switches across extreme regimes in ESTAR models between Euro and non-Euro area currencies.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 19 (2009)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/intfin
Unit root Nonlinearity Real exchange rate;
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