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Real Exchange Rates and Developing Countries

机译：实际汇率与发展中国家

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摘要

As the real exchange rate of developing countries is especially vulnerable to stochastic events, standard unit root tests do not capture such events adequately. Using a Markov switching extension of the ADF test, which incorporates stochastic regime switching, we address the issue of real exchange rate stationarity for 43 developing countries. We find strong statistical evidence that this approach is preferred to the standard ADF for all countries considered. For 36 countries, there is strong evidence of regime-dependent stationarity, namely there is a regime in which the real exchange rate is stationary and another regime in which the real exchange rate is non-stationary. This suggests that over a sample period, there are sub-periods of stationarity and sub-periods of non-stationarity. We identify those sub-periods and assess their average duration and regime persistence. The results, robust to alternative sample periods, indicate that there exists sample-dependence in unit root results in previous studies, and help bridge the gap between conflicting results of these studies.
机译：由于发展中国家的实际汇率特别容易受到随机事件的影响，因此标准单位根检验不能充分捕获此类事件。使用ADF测试的马尔可夫转换扩展，其中包括随机制度转换，我们解决了43个发展中国家的实际汇率平稳性问题。我们发现强大的统计证据表明，对于所有考虑的国家而言，此方法均优于标准ADF。对于36个国家，有很强的证据表明制度依赖平稳性，即存在一种体制，其中实际汇率是固定的，而另一种体制是实际汇率是不稳定的。这表明在一个样本期内，存在平稳性的子周期和非平稳性的子周期。我们确定了这些子时期，并评估了它们的平均持续时间和制度持续性。该结果对替代样本期具有鲁棒性，表明先前研究中单位根结果中存在样本依赖性，并有助于弥合这些研究之间相互矛盾的结果之间的差距。

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