Overview
Richard Kleijn is an econometrician at the Tinbergen Institute and Econometric Institute, Erasmus University Rotterdam. His work with Herman K. van Dijk applies Bayesian unobserved components methods to exchange rate dynamics and the PPP puzzle.
Key Contributions / Features
- Kleijn-Van Dijk (2002): Bayesian UC model for real exchange rates; I(2) smooth trend + two stochastic cycles; half-life of PPP deviations drops from 3–5 years to ~1 year once time-varying mean is accounted for; Bayes factors decisively reject constant PPP equilibrium.
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