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英文文献：A Nonparametric Study of Real Exchange Rate Persistence over a Century-一个世纪以来实际汇率持续的非参数研究
英文文献作者：Hyeongwoo Kim,Deockhyun Ryu
英文文献摘要：
This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short memory in distribution (SMD). We found substantially shorter maximum half-life (MHL) estimates than the counterpart from linear models, which is robust to the choice of bandwidth with exceptions of Canada and Japan.
本文估计了16种长期实际汇率相对于美元的持续程度。我们使用El-Gamal和Ryu(2006)的非参数运算算法来处理基于两个统计概念的一般非线性模型:平均短记忆(SMM)和分布短记忆(SMD)。我们发现极大半衰期(MHL)估计值比线性模型的对应值要短得多，这对带宽的选择是稳健的，加拿大和日本除外。
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