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Purchasing power parity and the Taylor rule

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]

CollectionsANU Research Publications
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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