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On unit roots and real exchange rates : empirical evidence and Monte Carlo Analysis

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Taylor, Mark P. (1990) On unit roots and real exchange rates : empirical evidence and Monte Carlo Analysis. Applied Economics, 22 (10). pp. 1311-1321. doi:10.1080/00036849000000103

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Official URL: http://dx.doi.org/10.1080/00036849000000103

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Abstract

This paper presents some empirical evidence that real exchange rate series contain a unit root in their time series respresentation, which cancels out on first differencing, using the augmented Dickey–Fuller test. The power of this test is also tested using Monte Carlo methods and it is found to be quite powerful against a range of stationary local alternatives. The findings imply the absence of any tendency of the nominal exchange rate to converge on purchasing power parity, even in the long run.
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Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Applied Economics
Publisher: Taylor & Francis Ltd.
ISSN: 0003-6846
Official Date: 1990
Dates:
DateEvent
1990Published
Volume: 22
Number: 10
Page Range: pp. 1311-1321
DOI: 10.1080/00036849000000103
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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