THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
Article first published online: 26 JUN 2013
Copyright © 2013 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 29, Issue 5, pages 758–773, August 2014
How to Cite
2014), THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION, Journal of Applied Econometrics, 29, pages 758–773, doi: 10.1002/jae.2336, and (
- Issue published online: 29 JUL 2014
- Article first published online: 26 JUN 2013
- Manuscript Revised: 17 APR 2013
- Manuscript Received: 30 MAR 2011
- Deutsche Forschungsgemeinschaft. Grant Number: SI 745/7-1
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples. In an application, we analyze several major real exchange rates to shed light on the question of which model describes these processes best. This allows us to draw conclusions about the driving forces of real exchange rates. Copyright © 2013 John Wiley & Sons, Ltd.