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A nonparametric study of real exchange rate persistence over a century

Listed author(s):
  • Kim, Hyeongwoo
  • Ryu, Deockhyun

This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short memory in distribution (SMD). We found substantially shorter maximum half-life (MHL) estimates than the counterpart from linear models. Our results are robust to the choice of bandwidth with a few exceptions.

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File URL: http://www.sciencedirect.com/science/article/pii/S105905601500009X
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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 37 (2015)
Issue (Month): C ()
Pages: 406-418

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Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:406-418
DOI: 10.1016/j.iref.2015.01.003
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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