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Real exchange rates under the recent float : unequivocal evidence of mean reversion

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Sarno, Lucio and Taylor, Mark P. (1998) Real exchange rates under the recent float : unequivocal evidence of mean reversion. Economics Letters, 60 (2). pp. 131-137. doi:10.1016/S0165-1765(98)00106-2

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Official URL: http://dx.doi.org/10.1016/S0165-1765(98)00106-2

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Abstract

Standard multivariate tests of long-run PPP may reject nonstationarity when a single real exchange rate series is stationary. We apply a test where the null hypothesis is violated only when all series are stationary, and reject nonstationarity for real dollar rates.

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Economics Letters
Publisher: Elsevier
ISSN: 0165-1765
Official Date: 1998
Dates:
DateEvent
1998Published
Volume: 60
Number: 2
Page Range: pp. 131-137
DOI: 10.1016/S0165-1765(98)00106-2
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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