文章基本信息

标题：Real exchange rates and real interest rates : a nonlinear perspective
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作者：Frédérique BEC ; Mélika BEN SALEM ; Ronald MACDONALD 等
期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2006
卷号：1
出版社：Université catholique de Louvain
摘要：In this paper we use a Threshold AutoRegressive (TAR) model to capture the nonlinear dynamics of monthly real effective exchange rate data for the G7 countries. The novelty of our approach relates to the use of the real interest differential as the switching variable. This choice allows us to consider jointly the nonlinearity and nonstationarity issues using récent advances in asymptotic theory. We find that the null of linearity is easily rejected against the nonlinear model for ail currencies considered. Further, for five out of the seven countries, where the null of unit root is rejected, we report evidence of quite rapid mean reversion.
关键词：Real exchange rate, threshold autoregressive model, unit-root