Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles
对后布雷顿森林体系时期的实际美元汇率拟合非线性均值回归模型，发现实际汇率冲击的半衰期比以往记录更短，并通过蒙特卡洛模拟解释了为何标准单位根检验难以拒绝假零假设。
We fit nonlinearly mean‐reverting models to real dollar exchange rates over the post‐Bretton Woods period, consistent with a theoretical literature on transactions costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply faster adjustment speeds than hitherto recorded. Monte Carlo simulations reconcile our results with the large empirical literature on unit roots in real exchange rates by showing that when the real exchange rate is nonlinearly mean reverting, standard univariate unit root tests have low power, while multivariate tests have much higher power to reject a false null hypothesis.