Nonlinear mean reversion in real exchange rates

By Georgios Chortareas, George Kapetanios, Yongcheol Shin. 2002

176 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/58a11f7f8c5f24ba00fba1ead12f2cfb4807f76d

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In Economics and Econometrics

Citations in the corpus

Inference on stochastic time-varying coefficient models (2014, methodology): “Cogley and Sargent (2005) deploy an RC model to address the question of whether it was changes in the variance of shocks, or changes in coefficients - policy or otherwise- that gave rise to the period of macroeconomic calmness in the 90’s and early 2000’s, dubbed the ‘Great Moderation’.”
The Yen Real Exchange Rate may be Stationary After All: Evidence from Non-linear Unit-root Tests (2004, unknown): “(2) See also Blake and Kapetanios (2001) and Chortareas et al (2002). real exchange rate against the other G7 currencies appears stationary for our full sample (1960 Q1-2000 Q4).”
Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, methodology): “Taylor et al. (2001) show that when nonlinearity is allowed in this fashion, the PPP puzzle largely disappears: it is only for small shocks occurring when the real exchange rate is near its equilibrium that the nonlinear models consistently yield half lives in the range of three to five years.”
Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists (2003, background): “Recent empirical studies (Sarantis 1999, Taylor and Peel 2000, Taylor et al. 2001, Chortareas et al. 2002) reveal evidence of nonlinear mean reversion in foreign exchange markets.”
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments (2004, unknown): “The trade-costs view has gained popularity and prompted a number of studies on nonlinear PPP reversion (e.g. Michael et al., 1997; Obstfeld and Taylor, 1997; O’Connell, 1998; Taylor et al., 2001; O’Connell and Wei, 2002).”
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014, unknown): “…model by using the exponential function g(sjt|γj, cj) = 1− exp{−γj (sjt − cj) 2}, γj > 0, for applications see Michael et al. (1997), Sarantis (1999), and Peel et al. (2001), or by the second-order logistic function g(sjt|γj, cj) = (1 + exp{−γj (sjt − cj1) (sjt − cj2)}) −1, γj > 0, 6 3 Modelling…”