Mean reversion in the real exchange rates

被引：84

作者：

Gil-Alana, LA ^{[1
]}

机构：

[1] Humboldt Univ, Inst Stat & Okonometrie, Berlin, Germany

[2] Univ Navarra, Dept Econ, E-31080 Pamplona, Spain

来源：

ECONOMICS LETTERS | 2000年 / 69卷 / 03期

关键词：

fractional integration; real exchange rates; mean reversion;

D O I：

10.1016/S0165-1765(00)00318-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Robinson's [J. Am. Stat. Assoc. 89 (1994) 1420] fractionally-based tests for unit roots and other hypotheses are applied to real exchange rate data between U.S. and five industrialized countries. The results indicate that the series are fractionally integrated with mean, reversion if the disturbances are autocorrelated. (C) 2000 Elsevier Science S.A. All rights reserved.

引用

页码：285 / 288

页数：4

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