Mean reversion in the real exchange rates

DOI10.1016/S0165-1765(00)00318-9zbMATH Open0954.91043OpenAlexW2121731493MaRDI QIDQ1583397FDOQ1583397

Authors: Luis A. Gil-Alana 

Publication date: 26 October 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00318-9

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zbMATH Keywords

fractional integrationmean reversionreal exchange rates

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Efficient Tests of Nonstationary Hypotheses
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series

Cited In (14)

• A mean shift break in the US interest rate.
• Empirical evidence of the spot and the forward exchange rates in Canada.
• MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
• Structural breaks and fractional integration in the US output and unemployment rate.
• Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
• Strong dependence in the nominal exchange rates of the Polish zloty
• Nonlinear mean reversion in real exchange rates.
• The Tests of Robinson in the Context of AR(1) Disturbances
• Mean reversion in real exchange rates
• A fractional integration analysis of the population in some OECD countries
• The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania
• Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism

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