文章基本信息

标题：A nonlinear adjustment in real exchange rates under transaction costs hypothesis in developed and emerging countries
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作者：Nuri Rachmayani ; Winiati P.Rahayu ; Didah Nur Faridah 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2020
卷号：4
期号：2
页码：220-235
DOI：10.3934/QFE.2020010
语种：English
出版社：AIMS Press
摘要：This paper tries to empirically examine the exchange rate deviations to its level under the purchasing power parity (PPP) and transaction costs hypotheses using a battery of newly developed nonlinear approaches. To explain the persistent differences in exchange rates,we use the half-life function analysis with quarterly data over the period 1988Q1–2018Q2 for a panel of 23 developed and emerging countries. Our results show that some deviations to PPP relation may be governed by non-linear dynamics. The adjustment toward the fundamental equilibrium seems to depend on the size and the sign of the gap from the PPP equilibrium. The foreign exchange rate adjustment can be modeled by symmetric process with the ESTAR model and asymmetric process with LSTAR model.
关键词：real exchange Rates;STAR models;purchasing power parity;nonlinear adjustments