Real Exchange Rates and Switching Regimes
Real Exchange Rates and Switching Regimes
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实际汇率和转换制度
DOI：
10.2139/ssrn.292805
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发表时间：
2000
影响因子：
1.2
通讯作者：
Jesper Hansson
中科院分区：
文献类型：
--
作者：
U. M. Bergman;Jesper Hansson
我们认为，后布雷顿森林时期主要货币之间的实际汇率可以用平稳的两状态马尔可夫切换AR(1)模型来描述。基于样本内和样本外的预测性能，我们发现该模型的表现优于实际汇率非平稳的两个竞争模型。我们还发现，在马尔可夫转换模型中，不同制度的存在与实际汇率单位根的普遍发现是一致的。
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing models where the real exchange rate is non-stationary. We also find that the existence of different regimes, as in the Markov switching model, is consistent with the common finding of unit roots in the real exchange rate.