Half-lives of currencies and aggregation bias

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 135
Issue: C
Pages: 58-60

Authors (2)

Kunkler, Michael (not in RePEc) MacDonald, Ronald (University of Glasgow)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We revisit the exchange rate half-life issue and demonstrate that observed half-lives can be reduced significantly by modelling (relative) currency rates, rather than exchange rates. We show that the average observed half-life for relative currency rates, around a measure of central tendency, is about 1.55 years and this drops to 1.30 years when the US dollar is excluded. We also show that a standard exchange rate model exhibits aggregation bias.

Technical Details

RePEc Handle
repec:eee:ecolet:v:135:y:2015:i:c:p:58-60
Journal Field
General
Author Count
2
Added to Database
2026-01-25