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Endogenous Structural Breaks and Real Exchange Rate Stationarity in Asia: Empirics and Theory
Yoke-Kee Eng,Chin-Yoong Wong,Muzafar Shah Habibullah 한국무역학회 2012 Journal of Korea trade Vol.16 No.3
This paper reconsiders real exchange rate stationarity for six East Asian countries using Lee and Strazicich (2001, 2003)’s minimum Lagrangian Multiplier (LM) unit root test that accounts for two endogenously determined structural breaks. The result is mixed. We thus set up an open-economy New Keynesian model to understand the factors that cause trend breaks and to infer the mechanism that characterizes the nonstationary real exchange rates. We find that nominal depreciation rate, inflation differentials, and interest rate differentials are the sources of breaks. The strength of each source in changing the path of the real exchange rate is influenced by nominal rigidities and monetary policy reaction functions. Most interestingly, we show how a successfully implemented inflation-targeting monetary policy in conjunction with an endogenous currency risk premium can be the potential culprit that results in nonstationary real exchange rates.