| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w6162
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| 来源ID | Working Paper 6162
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| Is Real Exchange Rate Mean Reversion Caused By Arbitrage? |
| Jose M. Campa; Holger C. Wolf
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| 发表日期 | 1997-09-01
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| 出版年 | 1997
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| 语种 | 英语
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| 摘要 | The presence of purchasing power parity is often attributed to the exploitation of arbitrage opportunities in goods markets. We examine this presumption for a 1960-1996 monthly panel of bilateral exchange rates and trade for the G7 countries. The data exhibit strong mean reversion. However, despite allowing for substantial latitude in specification, we find very limited support for a simple arbitrage view. The deviations of real exchange rates and trade from trend are virtually uncorrelated. Large trade deviations neither trigger nor accelerate mean reversion. Large real exchange rate deviations do not lead to systematic changes in trade. Constricting the sample to eighteen-month episodes of notable mean reversion - large persistent depreciations starting from overvalued levels - does not reveal any systematic relation either. The timing of these episodes does point, however, to an alternative explanation of mean reversion: the majority of episodes occur during periods of nominal exchange rate regime instability, pointing towards exchange rate policy or speculation as the immediate cause of mean reversion. Both may, of course, reflect expectations of trade responses, opening an indirect role for incipient arbitrage in explaining mean reversion. |
| URL | https://www.nber.org/papers/w6162
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563670
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推荐引用方式
GB/T 7714 |
Jose M. Campa,Holger C. Wolf. Is Real Exchange Rate Mean Reversion Caused By Arbitrage?. 1997.
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文件名：
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w6162.pdf
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格式：
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Adobe PDF
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