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- W3123896384 abstract "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. 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. JEL Classification: F31" @default.
- W3123896384 created "2021-02-01" @default.
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- W3123896384 date "2006-08-01" @default.
- W3123896384 modified "2023-09-27" @default.
- W3123896384 title "The behaviour of the real exchange rate: evidence from regression quantiles" @default.
- W3123896384 hasPublicationYear "2006" @default.
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