Half-lives of currencies and aggregation bias

DOI10.1016/J.ECONLET.2015.07.030MaRDI QIDQ1663955zbMATHOpenAlexFDO

Authors Michael Kunkler, Ronald MacDonald

Publication date 24 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.07.030

zbMATH Keywords

exchange ratesaggregation biashalf-lives

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Factor model forecasts of exchange rates

Cited in

(3)

• A stable aggregate currency revisited: highlighting some fundamental issues
• Augmented half-life estimation based on high-frequency data
• The law of one food price

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