| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w5777
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| 来源ID | Working Paper 5777
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| The Long-Run U.S.\/U.K. Real Exchange Rate |
| Charles Engel; Chang-Jin Kim
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| 发表日期 | 1996-09-01
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| 出版年 | 1996
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| 语种 | 英语
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| 摘要 | We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as having variances which switch, according to a Markov-switching process, among low, medium and high variance states. The underlying assumptions of our time-series model are based on an economic theory in which the permanent component represents real influences, while the transitory component represents primarily short-run movements due to nominal exchange rate fluctuations. Because the model is difficult to estimate by standard methods, we describe how the method of Gibbs sampling can handle this model. We find that our long-run real exchange rate series moves similarly to other measures proposed in the literature based on economic models. |
| 主题 | International Economics
; International Macroeconomics
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| URL | https://www.nber.org/papers/w5777
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563265
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推荐引用方式
GB/T 7714 |
Charles Engel,Chang-Jin Kim. The Long-Run U.S.\/U.K. Real Exchange Rate. 1996.
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文件名：
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w5777.pdf
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格式：
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Adobe PDF
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