I am grateful to two anonymous referees, Michael Day, Anthony Landry, Erwan Quintin, Robert Rossana, and seminar participants at Oakland University, the 14th International Conference on Computing in Economics and Finance, and the 2009 Midwest Econometrics Study Group Meeting for their useful comments. I thank Simon Gilchrist for the conversations in the very early stages of this paper.
THE REAL EXCHANGE RATE AND REAL INTEREST DIFFERENTIALS: THE ROLE OF THE TREND-CYCLE DECOMPOSITION
Article first published online: 3 JUL 2011
© 2011 Western Economic Association International
Volume 50, Issue 4, pages 968–987, October 2012
How to Cite
WADA, T. (2012), THE REAL EXCHANGE RATE AND REAL INTEREST DIFFERENTIALS: THE ROLE OF THE TREND-CYCLE DECOMPOSITION. Economic Inquiry, 50: 968–987. doi: 10.1111/j.1465-7295.2011.00387.x
- Issue published online: 4 OCT 2012
- Article first published online: 3 JUL 2011
Additional Supporting Information may be found in the online version of this article:
APPENDIX S1. The Beveridge-Nelson decomposition.
APPENDIX S2. The expected future sum of the real interest differentials.
APPENDIX S3. OLS and the t-test as not desirable method.
APPENDIX S4. Simulations.
Table S1. Rejection rates of unit root tests.
Figure S1. The estimated bias &bcaron;2 and the misperception parameter a(1).
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