Semi-parametric real exchange rates dynamics View Full Text


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Article Info

DATE

2018-03-16

AUTHORS

Angelos Kanas, Angelos Kotios, Panagiotis D. Zervopoulos

ABSTRACT

A flexible semi-parametric augmented Dickey Fuller (ADF) regression is proposed to explore real exchange rate dynamics for 16 countries over the twentieth century, and to estimate half-lives. Departing from existing literature, the present approach does not impose a functional form of the ADF regression and encompasses parametric extensions. Significant impediments to real exchange rates adjustment are found, and estimated half-lives are longer than those reported by earlier studies. These findings reveal a dismal PPP performance, difficulties in designing profitable strategies based on mean-reversion, complexities in production relocation policies by firms to reduce exchange rate risk, and carry implications for foreign subsidiary ownership structure. More... »

PAGES

643-656

References to SciGraph publications

  • 2005-08. ARDL Approach to the Exchange Rate Overshooting in Taiwan in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 1994-03. Mean reversion in annual earnings and its implications for security valuation in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2008-04-01. The impact of exchange rate risk on international asset pricing under various market structures in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 1997-10. Nonparametric Smoothing of Yield Curves in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2010-09-05. Australia’s equity home bias and real exchange rate volatility in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 1996-01. Testing the unbiasedness hypothesis of foreign exchange rates and the analysis of transformations in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
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    http://scigraph.springernature.com/pub.10.1007/s11156-018-0720-y

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    http://dx.doi.org/10.1007/s11156-018-0720-y

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