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

被引：76

作者：

Sarno, L

Taylor, MP

机构：

[1] Univ Oxford, Dept Econ, Oxford OX1 3UL, England

[2] Brunel Univ, Uxbridge UB8 3PH, Middx, England

[3] Ctr Econ Policy Res, London SW1Y 6LA, England

来源：

ECONOMICS LETTERS | 1998年 / 60卷 / 02期

关键词：

purchasing power parity; unit roots;

D O I：

10.1016/S0165-1765(98)00106-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

收藏

页码：131 / 137

页数：7

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