Are real exchange rates nonlinear or nonstationary? Evidence from a new threshold unit root test

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Atıf İçin Kopyala

Başçı E., Caner M.

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, cilt.9, sa.4, 2005 (SSCI)

• Yayın Türü: Makale / Tam Makale
• Cilt numarası: 9 Sayı: 4
• Basım Tarihi: 2005
• Doi Numarası: 10.2202/1558-3708.1273
• Dergi Adı: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
• Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
• TED Üniversitesi Adresli: Hayır

Özet

We analyze the post-float real exchange rates for a group of OECD countries using the newly developed threshold test and tests for unit roots against stationary but nonlinear alternative by Caner and Hansen ( 2001). These tools help us disentangle the nonlinearity from the nonstationarity rigorously for the first time in the literature. After applying the threshold test and unit root tests: we find evidence for non-linearity of exchange rates. Specifically real exchange rates behave like a unit root in a band and when the depreciation or appreciation of the currency against $US exceeds the boundaries of the band , the real exchange rates are mean-reverting. The threshold value is treated as unknown and estimated in the model.