Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Estudos Econômicos (São Paulo) |
Texto Completo: | https://www.revistas.usp.br/ee/article/view/79824 |
Resumo: | After the widespread adoption of flexible exchange rate regime since 1973, the volatility of the exchange rate has increased, as a consequence of greater trade openness and financial integration among countries. Thus, it has become difficult to find concrete evidence of the purchasing power parity hypothesis. This study investigates the possibility of a fall in the persistence of the real exchange rate as a consequence of the financial and commercial integration by employing monthly dataset provided by the International Monetary Fund. Beginning with an exploratory data analysis, and by combining two complementary unit root tests, the fractional coefficient d was estimated employing the bias-reduced estimator on a sample of 20 countries over the period ranging from 1975 to 2011. As a main novelty, this study applies a bias-reduced log-periodogram regression estimator instead of the traditional method proposed by GPH which eliminates the first and higher orders biases of the GPH estimator by a data-dependent plug-in method for selecting the number of frequencies to minimize asymptotic mean-squared error (MSE). Additionally, this study also estimates a moving window of fifteen years in order to observe the path of the fractional coefficient. No evidence was found of a statistically significant change in the persistence of the real exchange rate. |
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Estudos Econômicos (São Paulo) |
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Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approachPurchasing power parityPersistenceFractional integrationReal exchange rateParidade do poder de compraPersistênciaIntegração fracionáriaTaxa de câmbio realAfter the widespread adoption of flexible exchange rate regime since 1973, the volatility of the exchange rate has increased, as a consequence of greater trade openness and financial integration among countries. Thus, it has become difficult to find concrete evidence of the purchasing power parity hypothesis. This study investigates the possibility of a fall in the persistence of the real exchange rate as a consequence of the financial and commercial integration by employing monthly dataset provided by the International Monetary Fund. Beginning with an exploratory data analysis, and by combining two complementary unit root tests, the fractional coefficient d was estimated employing the bias-reduced estimator on a sample of 20 countries over the period ranging from 1975 to 2011. As a main novelty, this study applies a bias-reduced log-periodogram regression estimator instead of the traditional method proposed by GPH which eliminates the first and higher orders biases of the GPH estimator by a data-dependent plug-in method for selecting the number of frequencies to minimize asymptotic mean-squared error (MSE). Additionally, this study also estimates a moving window of fifteen years in order to observe the path of the fractional coefficient. No evidence was found of a statistically significant change in the persistence of the real exchange rate.Após a adoção generalizada do regime de câmbio flexível nos diversos países desde1973, a volatilidade da taxa cambial aumentou, em contexto de maior abertura comerciale integração financeira. Tornou-se mais difícil encontrar evidências favoráveis à hipótese da paridade do poder de compra. Este estudo analisa a possibilidade dequeda na persistência da taxa de câmbio real como consequência da abertura comerciale integração financeira, com dados mensais de 20 países no período de 1975 a 2011.A partir de uma análise exploratória dos dados no domínio da frequência, o coeficientefracionário d foi obtido utilizando-se um estimador semiparamétrico com reduçãode viés em que um algoritmo dependente dos dados seleciona o número ótimo defrequências que minimiza o erro quadrático médio, diferente do estimador tradicionalGPH. O estudo também utiliza uma janela móvel de 15 anos para identificar a evoluçãodo coeficiente fracionário ao longo dos anos. Não há evidência de queda na persistênciada taxa de câmbio real, nem indicações que corroborem a hipótese da paridade dopoder de compra.Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2015-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/7982410.1590/0101-416145485amfEstudos Econômicos (São Paulo); v. 45 n. 4 (2015); 821-8571980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ee/article/view/79824/105992Copyright (c) 2015 André M. Marques, Fábio Pesaventohttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessMarques, André M.Pesavento, Fábio2020-12-07T21:37:38Zoai:revistas.usp.br:article/79824Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2020-12-07T21:37:38Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
title |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
spellingShingle |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach Marques, André M. Purchasing power parity Persistence Fractional integration Real exchange rate Paridade do poder de compra Persistência Integração fracionária Taxa de câmbio real |
title_short |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
title_full |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
title_fullStr |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
title_full_unstemmed |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
title_sort |
Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach |
author |
Marques, André M. |
author_facet |
Marques, André M. Pesavento, Fábio |
author_role |
author |
author2 |
Pesavento, Fábio |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Marques, André M. Pesavento, Fábio |
dc.subject.por.fl_str_mv |
Purchasing power parity Persistence Fractional integration Real exchange rate Paridade do poder de compra Persistência Integração fracionária Taxa de câmbio real |
topic |
Purchasing power parity Persistence Fractional integration Real exchange rate Paridade do poder de compra Persistência Integração fracionária Taxa de câmbio real |
description |
After the widespread adoption of flexible exchange rate regime since 1973, the volatility of the exchange rate has increased, as a consequence of greater trade openness and financial integration among countries. Thus, it has become difficult to find concrete evidence of the purchasing power parity hypothesis. This study investigates the possibility of a fall in the persistence of the real exchange rate as a consequence of the financial and commercial integration by employing monthly dataset provided by the International Monetary Fund. Beginning with an exploratory data analysis, and by combining two complementary unit root tests, the fractional coefficient d was estimated employing the bias-reduced estimator on a sample of 20 countries over the period ranging from 1975 to 2011. As a main novelty, this study applies a bias-reduced log-periodogram regression estimator instead of the traditional method proposed by GPH which eliminates the first and higher orders biases of the GPH estimator by a data-dependent plug-in method for selecting the number of frequencies to minimize asymptotic mean-squared error (MSE). Additionally, this study also estimates a moving window of fifteen years in order to observe the path of the fractional coefficient. No evidence was found of a statistically significant change in the persistence of the real exchange rate. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/79824 10.1590/0101-416145485amf |
url |
https://www.revistas.usp.br/ee/article/view/79824 |
identifier_str_mv |
10.1590/0101-416145485amf |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/79824/105992 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 André M. Marques, Fábio Pesavento http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2015 André M. Marques, Fábio Pesavento http://creativecommons.org/licenses/by-nc/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
dc.source.none.fl_str_mv |
Estudos Econômicos (São Paulo); v. 45 n. 4 (2015); 821-857 1980-5357 0101-4161 reponame:Estudos Econômicos (São Paulo) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Estudos Econômicos (São Paulo) |
collection |
Estudos Econômicos (São Paulo) |
repository.name.fl_str_mv |
Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
estudoseconomicos@usp.br||aldrighi@usp.br |
_version_ |
1787713829568774144 |