Mean reversion of real exchange rates in high-inflation countries.
A study was conducted to examine for mean reversion in real exchange rates in countries with high inflation. Monthly data were drawn from Argentina, Brazil, Chile, Colombia, and Israel. Kalman filter estimates of the stochastic unit roots reveal sharp deviations from unity linked with high inflati...
| Publicado en: | Southern Economic Journal Vol. 65; no. 4; pp. 839 - 855 |
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| Autores principales: | , , |
| Formato: | Artículo |
| Publicado: |
Southern Economic Association
April 1999
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | A study was conducted to examine for mean reversion in real exchange rates in countries with high inflation. Monthly data were drawn from Argentina, Brazil, Chile, Colombia, and Israel. Kalman filter estimates of the stochastic unit roots reveal sharp deviations from unity linked with high inflation episodes. This suggests that stochastic unit root models are a more suitable way to model mean reversion in real exchange rates for high inflation nations than models with fixed rates of mean reversion. |
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