Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals

By Mark P. Taylor, David Peel. 2000

509 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/ff2579f8c7946152c322401ce6850767901a2f68

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Mark P. Taylor
2. Lucio Sarno
3. Giorgio Valente
4. Mototsugu Shintani
5. Kenneth S. Rogoff
6. Frank H. Westerhoff
7. Vania Stavrakeva
8. David H. Papell

Citations in the corpus

• Commodity Currencies and Empirical Exchange Rate Puzzles (2002, background): “2 Examples of recent papers that explore non-linear exchange rate responses to deviations from economic fundamentals include Taylor and Peel (2000) and Taylor (2001).”
• Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006, methodology): “…estimators that do not allow for such heterogeneity are inconsistent and a positive bias is induced equivalent to systematically assigning a larger weight to those components of the 11 Taylor and Peel (2000) apply the ESTAR model to nominal exchange rates. aggregate series that are most persistent.”
• Which Lag Length Selection Criteria Should We Employ (2006, unknown): “URL: http://www.economicsbulletin.com/2004/volume3/EB−04C20021A.pdf”
• ADL tests for threshold cointegration (2010, unknown): “For example, Taylor and Peel (2000) and Wu and Chen (2001) provide empirical evidence that deviations from the longrun equilibrium level of exchange rates follow a nonlinear adjustment process.”
• Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (2005, methodology): “5 In this paper, we follow this literature and use equation (3) in our empirical analysis, imposing the conventional restriction that φ = 1 in the definition of ft given by equation (2) (e.g., Mark, 1995; Taylor and Peel, 2000; Mark and Sul, 2001).”
• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL (2006, unknown): “Taylor and Peel (2000) have shown that the relationship between the exchange rate and economic fundamentals is nonlinear.”
• 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.”
• The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis (2002, background): “Several recent papers, including Obstfeld and Taylor (1997) and Taylor and Peel (2000), have provided evidence of nonlinear mean reversion of real exchange rates during the postBretton-Woods period.”
• The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, background): “Empirical evidence suggest that the relationship between fundamentals and exchange rates can be better represented by non-linear rather than linear functional forms (see Taylor and Peel, 2000, Meese and Rose, 1991 and Kilian and Taylor, 2001).”