Employing disaggregated real exchange rates from nine European counties in 16 goods categories, we assess in this study the nonlinearity in the real exchange rates. Surprisingly, we find evidence for nonlinearity in only four (10) out of 143 series with the linearity test proposed by Harvey et al. (20088. Harvey, D. I., Leybourne, S. J. and Xiao, B. 2008. A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics and Econometrics , 12 Art 8[Web of Science ®]View all references) at the 5% (10%) significance level. This result differs greatly from those of Juvenal and Taylor (200811. Juvenal, L. and Taylor, M. P. 2008. Threshold adjustment of deviations from the law of one price. Studies in Nonlinear Dynamics and Econometrics , 12 Art 8[Web of Science ®]View all references), Imbs et al. (20039. Imbs, J., Mumtaz, H., Raven, M. O. and Rey, H. 2003. Nonlinearities and real exchange rate dynamics. Journal of the European Economic Association , 1: 639-49. [CrossRef]View all references), Sarno et al. (200421. Sarno, L., Taylor, M. P. and Chowdhury, I. 2004. Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study. Journal of International Money and Finance , 23: 1-25. [CrossRef], [Web of Science ®]View all references) and Berka (20091. Berka, M. 2009. âNon-linear adjustment in law of one price deviations and physical characteristic of goodâ. In Review of International Economics Vol. 17, 51-73. View all references), who report ample evidence for nonlinearity for the same or similarly disaggregated real exchange rate datasets.View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/00036840902817573
展开▼
机译：利用来自9个欧洲县的16种商品的分类实际汇率，我们在本研究中评估了实际汇率的非线性。出乎意料的是，通过Harvey等人提出的线性测试，我们发现143个系列中只有四（10）个具有非线性。 （20088. Harvey，DI，Leybourne，SJ和Xiao，B.2008。当积分阶数未知时进行线性的强大测试。非线性动力学和计量经济学研究，12 Art 8 [Web of Science®]查看所有参考文献）达到5％（10％）的显着性水平。该结果与Juvenal和Taylor（200811. Juvenal，L. and Taylor，MP 2008.偏离一价定律的阈值调整。非线性动力学和计量经济学研究，12 Art 8 [Web of Science®]查看所有参考文献），Imbs等。 （20039. Imbs，J.，Mumtaz，H.，Raven，MO和Rey，H.2003。非线性与实际汇率动态。欧洲经济协会学报，1：639-49。[CrossRef]查看所有参考） ，Sarno等。 （200421. Sarno，L.，Taylor，MP和Chowdhury，I. 2004.偏离一价定律的非线性动力学：基础广泛的经验研究。《国际货币与金融杂志》，23：1-25。[ CrossRef]，[Web of Science®]查看所有参考文献）和Berka（20091. Berka，M. 2009.“一种价格偏差的规律和商品的物理特征的非线性调整”。在《国际经济学评论》中。第17卷，第51-73页，查看所有参考文献），他们为相同或相似分类的实际汇率数据集报告了充足的非线性证据。 “ citeulike，netvibes，twitter，technorati，美味，linkedin，facebook，stumbleupon，digg，google，更多”，发布：“ ra-4dff56cd6bb1830b”};添加到候选列表链接永久链接http://dx.doi.org/10.1080/00036840902817573
展开▼
