The Behaviour of the Real Exchange Rate: Evidence from Regression Quantiles
The Behaviour of the Real Exchange Rate: Evidence from Regression Quantiles
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DOI：
10.1016/j.jbankfin.2007.05.002
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发表时间：
2006-08
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影响因子：
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通讯作者：
Kleopatra Nikolaou
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文献类型：
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作者：
Kleopatra Nikolaou
我们使用最近开发的基于半参数和非参数设置中分位数自回归推理的非正态过程的单位根检验来检验实际汇率的均值回归。分位数回归方法使我们能够直接捕捉不同程度的冲击对实际汇率的影响，以其过去的历史为条件，并且可以检测到实际汇率朝着长期均衡的不对称动态调整。因此，它提供了实际汇率行为的详细映射，同时是以前单位根检验的可靠替代方案。后者是通过仿真分析比较备选试验的功率证实。至于实际汇率，我们的研究结果表明，大的冲击往往会导致汇率出现强烈的均值回归趋势，极端分位数的半衰期不到一年。当大冲击发生在实际汇率与长期均衡存在较大偏差的点上时，均值回归会更快。然而，在没有冲击的情况下，没有观察到均值回归。最后，我们报告了RER动态调整中的不对称性。
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.