| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3365 |
| DP3365 The Inflation Forecast and the Loss Function | |
| Lars E.O. Svensson | |
| 发表日期 | 2002-05-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | In this Paper we test empirically the validity of the law of one price using data for five major bilateral US dollar exchange rates and nine goods sectors during the recent floating exchange rate regime since the early 1970s. Using threshold autoregressive models, we find strong evidence of non-linear mean reversion in deviations from the law of one price with plausible convergence speeds. Consistent with theoretical arguments on international goods markets arbitrage under transactions costs and with an emerging strand of empirical literature, these results contribute towards forming a consensus view in favour of discrete regime switching in deviations from the law of one price and the presence of differing non-zero transactions costs across a broad range of goods and countries. |
| 主题 | International Macroeconomics |
| 关键词 | Law of one price Purchasing power parity Real exchange rate Threshold non-linearity Mean reversion |
| URL | https://cepr.org/publications/dp3365 |
| 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/532389 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson. DP3365 The Inflation Forecast and the Loss Function. 2002. |
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