Purchasing power parity and the Taylor rule
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Hyeongwoo, Kim; Fujiwara, Ippei; Hansen, Bruce E; Ogaki, Masao
Description
It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non-parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18...[Show more]
Collections | ANU Research Publications |
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Date published: | 2014 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/68545 |
Source: | Journal of Applied Econometrics |
DOI: | 10.1002/jae.2391 |
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01_Hyeongwoo_Purchasing_power_parity_and_2014.pdf | 632.62 kB | Adobe PDF | Request a copy |
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