tailieunhanh - International Macroeconomics and Finance: Theory and Empirical Methods Phần 7

Tỷ lệ thực tế và danh nghĩa đồng đô la-pound 1871-1997 Tỷ lệ phương sai của giá sản Chúng tôi có thể sử dụng các số liệu thống kê không đúng tỷ lệ (xem chương 2,4) để kiểm tra sự đóng góp liên quan đến phương sai tổng thể của sự mất giá thực sự từ một thành phần thường trực và các thành phần tạm thời. | . LONG-RUN ANALYSES OF REAL EXCHANGE RATES 221 40 20 0 -20 -40 -60 -80 -100 1871 1883 1895 1907 1919 1931 1943 1955 1967 1979 1991 Figure Real and nominal dollar-pound rate 1871-1997 Variance Ratios of Real Exchange Rates We can use the variance-ratio statistic see chapter to examine the relative contribution to the overall variance of the real depreciation from a permanent component and a temporary component. Table shows variance ratios calculated on the Lothian-Taylor data along with asymptotic standard The point estimates display a hump shape. They initially rise above 1 at short horizons then fall below 1 at the longer horizons. This is a pattern often found with financial data. The variance ratio falls below 1 because of a preponderance of negative autocorrelations at the longer horizons. This means that a current jump in the real exchange rate tends to be offset by future changes in the opposite direction. Such movements are characteristic of mean-reverting processes. Even at the 20 year horizon however the point estimates indicate that 23 percent of the variance of the dollar-pound real exchange rate 8Huizinga 77 calculated variance ratio statistics for the real exchange rate from 1974 to 1986 while Grilli and Kaminisky 68 did so for the real dollar pound rate from 1884 to 1986 as well as over various subperiods. 222 CHAPTER 7. THE REAL EXCHANGE RATE Table Variance ratios and asymptotic standard errors of real dollar-sterling exchange rates. Lothian-Taylor data using PPIs. k 1 2 3 4 5 10 15 20 VRfc . can be attributed to a permanent random walk component. The asymptotic standard errors tend to overstate the precision of the variance ratios in small samples. That being said even at the 20 year horizon VR20 for the dollar-pound rate is using the asymptotic standard error significantly greater than 0 which implies the presence of a permanent .