Causes of nonlinearities in low-order models of the real exchange rate
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Ahmad, Yamin [verfasserIn] |
|---|
| Format: |
E-Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2013transfer abstract |
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| Umfang: |
14 |
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| Übergeordnetes Werk: |
Enthalten in: Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy - Chen, Yulin ELSEVIER, 2023, Amsterdam [u.a.] |
|---|---|
| Übergeordnetes Werk: |
volume:91 ; year:2013 ; number:1 ; pages:128-141 ; extent:14 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.jinteco.2013.04.008 |
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ELV039119157 |
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| 520 | |a This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. | ||
| 520 | |a This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. | ||
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10.1016/j.jinteco.2013.04.008 doi GBVA2013022000001.pica (DE-627)ELV039119157 (ELSEVIER)S0022-1996(13)00049-4 DE-627 ger DE-627 rakwb eng 330 330 DNB 670 VZ 51.30 bkl Ahmad, Yamin verfasserin aut Causes of nonlinearities in low-order models of the real exchange rate 2013transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. Lo, Ming Chien oth Mykhaylova, Olena oth Enthalten in NH Elsevier Chen, Yulin ELSEVIER Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy 2023 Amsterdam [u.a.] (DE-627)ELV009381775 volume:91 year:2013 number:1 pages:128-141 extent:14 https://doi.org/10.1016/j.jinteco.2013.04.008 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.30 Werkstoffprüfung Werkstoffuntersuchung VZ AR 91 2013 1 128-141 14 045F 330 |
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10.1016/j.jinteco.2013.04.008 doi GBVA2013022000001.pica (DE-627)ELV039119157 (ELSEVIER)S0022-1996(13)00049-4 DE-627 ger DE-627 rakwb eng 330 330 DNB 670 VZ 51.30 bkl Ahmad, Yamin verfasserin aut Causes of nonlinearities in low-order models of the real exchange rate 2013transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. Lo, Ming Chien oth Mykhaylova, Olena oth Enthalten in NH Elsevier Chen, Yulin ELSEVIER Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy 2023 Amsterdam [u.a.] (DE-627)ELV009381775 volume:91 year:2013 number:1 pages:128-141 extent:14 https://doi.org/10.1016/j.jinteco.2013.04.008 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.30 Werkstoffprüfung Werkstoffuntersuchung VZ AR 91 2013 1 128-141 14 045F 330 |
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10.1016/j.jinteco.2013.04.008 doi GBVA2013022000001.pica (DE-627)ELV039119157 (ELSEVIER)S0022-1996(13)00049-4 DE-627 ger DE-627 rakwb eng 330 330 DNB 670 VZ 51.30 bkl Ahmad, Yamin verfasserin aut Causes of nonlinearities in low-order models of the real exchange rate 2013transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. Lo, Ming Chien oth Mykhaylova, Olena oth Enthalten in NH Elsevier Chen, Yulin ELSEVIER Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy 2023 Amsterdam [u.a.] (DE-627)ELV009381775 volume:91 year:2013 number:1 pages:128-141 extent:14 https://doi.org/10.1016/j.jinteco.2013.04.008 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.30 Werkstoffprüfung Werkstoffuntersuchung VZ AR 91 2013 1 128-141 14 045F 330 |
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Causes of nonlinearities in low-order models of the real exchange rate |
| author_sort |
Ahmad, Yamin |
| journal |
Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy |
| journalStr |
Atomic-scale inhomogeneous solute distribution in an ultrahigh strength nanocrystalline Al-8 Mg aluminum alloy |
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eng |
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300 - Social sciences 600 - Technology |
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marc |
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2013 |
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128 |
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Ahmad, Yamin |
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91 |
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14 |
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330 330 DNB 670 VZ 51.30 bkl |
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Elektronische Aufsätze |
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Ahmad, Yamin |
| doi_str_mv |
10.1016/j.jinteco.2013.04.008 |
| dewey-full |
330 670 |
| title_sort |
causes of nonlinearities in low-order models of the real exchange rate |
| title_auth |
Causes of nonlinearities in low-order models of the real exchange rate |
| abstract |
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. |
| abstractGer |
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. |
| abstract_unstemmed |
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period. Our key findings are as follows. First, if the true model can be appropriately characterized as a set of linear equations, then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem, which leads them to overestimate the true incidence of nonlinearity. Consequently, studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data, despite the fact that the data generating process may be linear. Second, we propose a strategy that can largely eliminate this distortion. Finally, we find that DSGE models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples. |
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| title_short |
Causes of nonlinearities in low-order models of the real exchange rate |
| url |
https://doi.org/10.1016/j.jinteco.2013.04.008 |
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| author2 |
Lo, Ming Chien Mykhaylova, Olena |
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Lo, Ming Chien Mykhaylova, Olena |
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| doi_str |
10.1016/j.jinteco.2013.04.008 |
| up_date |
2024-07-06T19:50:16.191Z |
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