The Library
The behaviour of the real exchange rate : Evidence from regression quantiles
Tools
Tools
Tools
Nikolaou, Kleopatra (2008) The behaviour of the real exchange rate : Evidence from regression quantiles. Journal of Banking & Finance, Vol.32 (No.5). pp. 664-679. doi:10.1016/j.jbankfin.2007.05.002 ISSN 0378-4266.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1016/j.jbankfin.2007.05.002
Abstract
We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different magnitudes of shocks that hit the real exchange rate, conditional on its past history, and can detect asymmetric, dynamic adjustment of the real exchange rate towards its long run equilibrium. It, therefore provides a detailed mapping of the real exchange rate behaviour, while being a robust alternative to previous unit root tests. The latter is confirmed by a simulation analysis comparing the power of the alternative tests. As concerns the real exchange rate, our results suggest that large shocks tend to induce strong mean reverting tendencies in the exchange rate, with half lives less than one year in the extreme quantiles. Mean reversion is faster when large shocks originate at points of large real exchange rate deviations from the long run equilibrium. However, in the absence of shocks no mean reversion is observed. Finally, we report asymmetries in the dynamic adjustment of the RER. (C) 2007 Elsevier B.V. All rights reserved.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HG Finance | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||
| Library of Congress Subject Headings (LCSH): | Foreign exchange rates, Purchasing power parity, Regression analysis | ||||
| Journal or Publication Title: | Journal of Banking & Finance | ||||
| Publisher: | Elsevier Science BV | ||||
| ISSN: | 0378-4266 | ||||
| Official Date: | May 2008 | ||||
| Dates: |
|
||||
| Volume: | Vol.32 | ||||
| Number: | No.5 | ||||
| Number of Pages: | 16 | ||||
| Page Range: | pp. 664-679 | ||||
| DOI: | 10.1016/j.jbankfin.2007.05.002 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
