Do exchange rates follow a random walk process in Middle Eastern countries?

被引：46

作者：

Bahmani-Oskooee, M ^{[1
]}

机构：

[1] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA

来源：

ECONOMICS LETTERS | 1998年 / 58卷 / 03期

关键词：

KPSS test; PPP; ADF test; real effective rates; Middle East;

D O I：

10.1016/S0165-1765(98)00013-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this note we employ the KPSS test in addition to the ADF test to determine whether the real effective exchange rates in Middle Eastern countries follow a random walk process or they are stationary. While in most cases the KPSS test supported the stationary of the real effective rates, thus the PPP, the ADF test did not. The failure to support the PPP by the ADF test is said to be due to its low power. (C) 1998 Elsevier Science S.A.

引用

页码：339 / 344

页数：6

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