Provider: ingentaconnect
Database: ingentaconnect
Content: application/x-research-info-systems
TY - ABST
AU - Ferreira, Mauro
TI - Capturing asymmetry in real exchange rate with quantile autoregression
JO - Applied Economics
PY - 2011-02-01T00:00:00///
VL - 43
IS - 3
SP - 327
EP - 340
N2 - Quantile Autoregression (QAR) is used to explore asymmetries in the adjustment process of pairwise Real Exchange Rate (RER) between the Italian lire, French franc, Deutsch mark and the British pound. Based on the best specification for each quantile we construct predicted conditional density functions, which guided us to identify two sources of asymmetry: (1) dispersion depends on the conditioned value of the RER, i.e. 'conditional' heteroskedasticity; (2) the probability of increases and falls also changes according to the conditioned value, i.e. there is higher probability for the RER to appreciate (depreciate) given the currency is depreciated (appreciated). We only verified strong heterokedasticity in relations among the lire, franc and mark, which was resolved by estimating quadratic autoregressive model for some quantiles. Relations involving the pound presented stable but higher dispersion indicating larger probability of wider oscillation.
UR - http://www.ingentaconnect.com/content/routledg/raef/2011/00000043/00000003/art00006
M3 - doi:10.1080/00036840802584919
UR - http://dx.doi.org/10.1080/00036840802584919
ER -