نرخ ارز واقعی و اختلاف نرخ بهره واقعی: پیامدهای از تنظیم غیر خطی در نرخ ارز واقعی

This paper investigates the relationship between real exchange rates and real interest differentials. While sticky-price exchange-rate theories predict a relationship, empirical evidence on the hypothesized link has proved elusive. Our conjecture is that the empirical difficulty is due to a failure to recognize nonlinearity in real exchange rate adjustment. When we introduce threshold nonlinearity into a traditional model to take account of a transaction cost-induced ‘band of inaction’ for price adjustment, only outside the band will the real exchange rate exhibit mean reversion and bear an association with real interest differentials. Our estimated nonlinear models provide evidence supporting this view.