• 「FEEL」 Kim, B., Min, H., and Moh, Y. (2010), “Nonlinear Dynamics in Exchange Rate Deviations from the Monetary Fundamentals: An Empirical Study”, Economic Modelling, Vol. 27, pp. 1167-1177.

    Lab: Financial Economics and Engineering Lab.

    Professor: Hong-Ghi Min

    Title: Nonlinear Dynamics in Exchange Rate Deviations from the Monetary Fundamentals: An Empirical Study

    Authors: Bong-Han Kim, Hong-Ghi Min, young-Kyu Moh

    Journal: Economic Modelling

    Publish: 2010

    Abstract:

    This paper reexamines empirical performance of the monetary exchange rate model with nonlinear dynamics of exchange rate deviation from the monetary fundamentals. First, we apply unit root test of Park and Shintani (2005) to post-Bretton Woods exchange rate data and able to reject the null of unit root deviation from monetary fundamentals against alternative hypothesis of nonlinear stationary process for deutschemark, pound, and Swiss franc. Our empirical results find that exchange rates show high degree of mean-reversion with larger deviation and long periods of overvaluation and undervaluation of dollar. We also find empirical evidence of predictability of the monetary fundamentals at longer horizons.

    DOI: 10.1016/j.econmod.2010.03.003

  • 작성자
    글

댓글을 달기 위해서는 로그인해야 합니다.