Mean Reversion of Real Exchange Rates in High-Inflation Countries
AbstractWe test for mean reversion in real exchange rates using data from five countries, four of which have experienced episodes of high inflation. Using monthly data for Argentina, Brazil, Chile, Colombia, and Israel, we find that a stochastic unit root model is typically appropriate (Brazil is the exception). Kalman filter estimates of the stochastic unit roots show sharp deviations from unity associated with high inflation episodes. This suggests that stochastic unit root models are a more appropriate way to model mean reversion in real exchange rates for high inflation countries than models with fixed rates of mean reversion.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Southern Economic Association in its journal Southern Economic Journal.
Volume (Year): 65 (1999)
Issue (Month): 4 (April)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, Elsevier, vol. 83(2), pages 219-224, May.
- Ivan Paya & David A. Peel, 2005.
"The Process Followed By Ppp Data. On The Properties Of Linearity Tests,"
Working Papers. Serie AD, Instituto Valenciano de Investigaciones EconÃ³micas, S.A. (Ivie)
2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
- Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, Elsevier, vol. 22(1), pages 147-158, January.
- Nagakura, Daisuke, 2009. "Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(24), pages 2476-2483, December.
- Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., number 7736.
- Daisuke Nagakura, 2009. "Inconsistency of a Unit Root Test against Stochastic Unit Root Processes," IMES Discussion Paper Series 09-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
- Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June.
- Rey, Serge & Varachaud, Pascal, 2000.
"Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro
[The behavior of European real exchange rates from the Bretton Woods system end to the adopt," MPRA Paper 49502, University Library of Munich, Germany.
- Daisuke Nagakura, 2007. "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series 07-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
- Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer, Springer, vol. 33(4), pages 393-409, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Razzolini).
If references are entirely missing, you can add them using this form.