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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
