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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
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: |
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| 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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