NDLI: Systematic sampling and real exchange rates

Content Provider	Springer Nature Link
Author	Sar, Lucio
Copyright Year	2000
Abstract	Systematic Sampling and Real Exchange Rates. — Four major real bilateral exchange rates are shown to be well characterized by nonlinear stationary models over the recent float. Using Monte Carlo methods, this paper examines the effects of systematic sampling on the behaviour of real exchange rates and shows that: systematic sampling reduces significantly nonlinearity in real exchange rates and affects their lag structure; given a certain span, the frequency of the data set becomes crucial for detecting mean reversion in real exchange rates once the analysis is switched from a linear to a nonlinear model. Monte Carlo simulations also suggest that the parameter governing the speed of nonlinear mean reversion may be upward biased.Systematische Bildung von Stichproben und reale Wechselkurse. — Vier bedeutende reale bilaterale Wechselkurse lassen sich für die jüngste Floatingperiode gut durch nichtlineare stationÄre Modelle charakterisieren. Mit Hilfe von Monte-Carlo-Methoden wird in diesem Aufsatz untersucht, wie sich die systematische Bildung von Stichproben (von Quartalsdaten aus Monatsdaten) auf das Verhalten von realen Wechselkursen auswirkt. Es zeigt sich Folgendes: Die systematische Bildung von Stichproben reduziert in signifikanter Weise die NichtlinearitÄt in den realen Wechselkursen und beeinflusst deren lag-Struktur; bei gegebener LÄnge der Zeitspanne insgesamt ist die HÄufigkeit der Daten dafür entscheidend, ob sich ein Prozess mit einer Umkehr zum Mittelwert (mean reversion) aufspüren lÄsst, sobald die Analyse von einem linearen zu einem nichtlinearen Modell übergeht. Monte-Carlo-Simulationen legen au\erdem nahe, dass der Parameter, der das Tempo der nichtlinearen “mean reversion” bestimmt, nach oben verzerrt ist.
Starting Page	24
Ending Page	57
Page Count	34
File Format	PDF
ISSN	00432636
Journal	Weltwirtschaftliches Archiv
Volume Number	136
Issue Number	1
e-ISSN	16102886
Language	English
Publisher	Springer-Verlag
Publisher Date	2000-01-01
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	International Economics Economics general
Content Type	Text
Resource Type	Article
Subject	Business, Management and Accounting

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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