Purchasing power parity and the Taylor rule
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]
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|Source:||Journal of Applied Econometrics|
|01_Hyeongwoo_Purchasing_power_parity_and_2014.pdf||632.62 kB||Adobe PDF||Request a copy|
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