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Title: |
Mean Reversion in Equilibrium Real Exchange
Rates |
| Author: |
Wu, Yangru |
| Author
Affiliation: |
WV U |
| Source: |
International Economic Journal, Summer 1996, v. 10, no. 2, pp. 85-104 |
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Publication Date: |
Summer 1996 |
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Abstract: |
This paper reports evidence that an
equilibrium model of real exchange rate determination with time
non-separable preferences can generate mean reversion in six real
exchange rates. Using the generalized method of moments, I obtain
plausible parameter estimates and cannot reject the model by the
over-identifying restrictions test. Monte-Carlo experiments cannot
reject the null hypothesis that the variance rations estimated with the
data are drawn from the empirical distribution generated by the model. |
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