NON-LINEARITIES IN THE RELATION BETWEEN THE EXCHANGE RATE AND ITS FUNDAMENTALS

CARLO ALTAVILLA; PAUL DE GRAUWE

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NON-LINEARITIES IN THE RELATION BETWEEN THE EXCHANGE RATE AND ITS FUNDAMENTALS

机译：汇率及其基本原理之间的非线性关系

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We develop a simple theoretical model in which chartists and fundamentalists interact. The model predicts the existence of different regimes, and thus non-linearities in the link between the exchange rate and its fundamentals. We test the model empirically by adopting a Markov-switching vector error correction model. The results suggest the presence of non-linear mean reversion in the nominal exchange rate process. The implications are that different sets of macroeconomic fundamentals act as driving forces of the exchange rates during different time periods.

机译：我们建立了一个简单的理论模型，宪章主义者和原教旨主义者在其中相互作用。该模型预测存在不同的制度，从而预测汇率与其基本面之间的非线性关系。我们通过采用马尔可夫切换矢量误差校正模型对模型进行经验检验。结果表明名义汇率过程中存在非线性均值回归。其含义是，在不同时期，不同的宏观经济基础集是汇率的驱动力。

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来源
《International journal of finance & economics》 |2010年第1期|1-21|共21页
作者
CARLO ALTAVILLA; PAUL DE GRAUWE;
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作者单位

University of Naples, Italy Department of Economic Studies, University of Naples 'Parthenope', Via Medina, 40-80133 Naples, Italy;

Catholic University of Leuven, Belgium;

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原文格式 PDF
正文语种 eng
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关键词
non-linearity; markov-switching model; fundamentals;

机译：非线性马尔可夫切换模型基本面;

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机译：汇率与其基本面之间的关系中的非线性

NON-LINEARITIES IN THE RELATION BETWEEN THE EXCHANGE RATE AND ITS FUNDAMENTALS

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