A nonparametric measure of convergence towards purchasing power parity
提出一种非参数方法，用最大李雅普诺夫指数评估非线性调整下实际汇率向购买力平价收敛的速度，发现收敛速度比线性假设下的研究结果更快。
Abstract It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half‐lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure for evaluating the speed of adjustment in the presence of nonlinearity, using the largest Lyapunov exponent of the time series. The empirical result suggests that the speed of convergence to a long‐run price level is indeed faster than what was found in previous studies with linear restrictions. Copyright © 2006 John Wiley & Sons, Ltd.