| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2675 |
| DP2675 The Effect of Bidders' Asymmetries on Expected Revenues | |
| Estelle Cantillon | |
| 发表日期 | 2001-01-30 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transaction costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply faster adjustment speeds than hitherto recorded. Monte Carlo simulations reconcile our results with the large empirical literature on unit roots in real exchange rates by showing that when the real exchange rate is nonlinearly mean reverting, standard univariate unit root tests have low power, while multivariate tests have much higher power to reject a false null hypothesis |
| 主题 | International Macroeconomics |
| 关键词 | Unit root test Test power Purchasing power parity Real exchange rate Nonlinear dynamics |
| URL | https://cepr.org/publications/dp2675 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531734 |
| 推荐引用方式 GB/T 7714 | Estelle Cantillon. DP2675 The Effect of Bidders' Asymmetries on Expected Revenues. 2001. |
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