The Search for Stationarity in Real Exchange Rates
2007/09/04
研討會日期 : 2007-09-04
時間 : 15:00
主講人 : Prof. Yu-Chin Chen
地點 : B棟110室
演講者簡介 : Prof. Yu-Chin Chen 為Ph.D. in Economics, Harvard University （2002）。
目前為Assistant Professor, Department of Economics, University of Washington, Seattle。
其主要研究領域為International Finance, Open Economy Macroeconomics, International Trade。
演講摘要 : The Purchasing Power Parity (PPP) Puzzle questions how the high volatility and persistence observed in real exchange rates can be reconciled using a common framework, as short-term monetary shocks may explain the volatility, but the extreme slow rate deviations from PPP damps out are more consistent with real shocks. Adopting an unobserved component regime-switching model that allows for shocks of different durations, we examine the real exchange rate dynamics using over one hundred years of data for 16 OECD countries. While we find significant heterogeneity across countries in the estimated coefficients and in the degrees of the PPP Puzzle, an “AR(1)-Unit Root switching model” emerges as a parsimonious yet robust characterization for all. We show that our specification encompasses and dominates some alternative popular approaches for modeling real exchange rates, such as structural break analysis. In addition, we show that the regimes and the likelihood of the transition across regimes correspond to major historical events and are responsive to economic fundamentals.
