Mean reversion in real exchange rates: Evidence and implications for forecasting

Journal of International Money and Finance

Volumn 15, Issue 4, 1996, Pages 535-550

  Jorion, Philippe ^a   Sweeney, Richard J ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b GEORGETOWN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030210342     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(96)00020-4     Document Type: Article

References (29)

1. ABUAF, NISO AND PHILIPPE JORION, 'Purchasing Power Parity in the long run,' Journal of Finance, March 1990, 45: 157-174.
2. ADLER, MICHAEL AND BRUCE LEHMANN, 'Deviations from Purchasing Power Parity in the long run,' Journal of Finance, December 1983, 38: 1471-1487.
3. BANERJEE, A., R.L. LIMSDAINE AND J.H. STOCK, 'Recursive and sequential tests of the unit root and trend break hypothesis: Theory and international evidence,' Journal of Business Economics and Statistics, July 1992, 10: 271-287.
4. CAMPBELL, JOHN AND PIERRE PERRON, 'What economists should know about unit root tests,' NBER Research Annual, 1991: 141-201.
5. DARBY, MICHAEL, 'Does Purchasing Power Parity Work?' Academic Conference Proceedings, Federal Reserve Bank of San Francisco, 1982.
6. DICKEY, DAVID AND WAYNE FULLER, 'Distribution of estimators for autoregressive time series with a unit root,' Journal of American Statistical Association, July 1979, 74: 427-431.
7. DICKEY, DAVID AND WAYNE FULLER, 'Likelihood ratio statistics for autoregressive time series with a unit root,' Econometrica, July 1981, 49: 1057-1071.
8. DIEBOLD, FRANCIS, HUSTED, STEVEN AND MARK RUSH, 'Real exchange rates under the gold standard,' Journal of Political Economy, December 1991, 99: 1252-1271.
9. DORNBUSCH, RUDIGER, 'Expectations and Exchange Rate Dynamics,' Journal of Political Economy, December 1976, 84: 1161-1176.
10. EDISON, HALI AND ERIC FISHER, 'A long-run view of the European Monetary System,' Journal of International Money and Finance, March 1991, 10: 53-70.
11. ENGLE, R. AND C. GRANGER, 'Co-integration and error correction: Representation, estimation and testing,' Econometrica, March 1987, 55: 251-276.
12. ENGEL, CHARLES AND J. HAMILTON, 'Long swings in the dollar - are they in the data and do markets know it?' American Economic Review, September 1990, 80: 689-713.
13. EVANS G.B.A. AND N.E. SAVIN, 'Testing for unit roots: 1,' Econometrica, May 1981, 49: 753-779.
14. EVANS G.B.A AND N.E. SAVIN, 'Testing for unit roots: 2,' Econometrica, September 1984, 52: 1241-1271.
15. FISHER, ERIC AND J. PARK, 'Testing Purchasing Power Parity under the null hypothesis of co-integration,' The Economic Journal, November 1991, 52: 1476-1484.
16. FRANKEL, JEFFREY AND ANDREW ROSE, 'A panel project on Purchasing Power Parity: mean reversion within and between countries', National Bureau of Economic Research Working Paper 5006, 1995.
17. HAKKIO, CRAIG, 'Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk,' Journal of International Money and Finance, June 1986, 4: 221-229.
18. HUIZINGA, JOHN, 'An empirical investigation of the long-run behavior of real exchange rates,' Carnegie-Rochester Conference on Public Policy, 1987, 27: 149-214.
19. LOTHIAN, JAMES, 'A history of yen exchange rates,' in W. Ziemba, W. Bailey and Y. Hamao, eds, Japanese Financial Market Research, Amsterdam: Elsevier, 1991.
20. LOTHIAN, JAMES, 'Multi-country evidence on the behavior of Purchasing Power Parity under the current float,' Fordham University Working Paper, 1995.
21. MARSTON, RICHARD, 'Real exchange rates and productivity growth in the United States and Japan,' in S. Arndt and J.D. Richardson, editors, Real-Financial Linkages among Open Economies, Cambridge, MIT Press, 1987.
22. MEESE RICHARD AND KENNETH SINGLETON, 'On unit roots and the empirical modeling of exchange rates,' Journal of Finance, September 1982, 37: 1029-1035.
23. OH, KEUN-YEOB, 'Purchasing Power Parity and unit root tests using panel data,' Journal of International Money and Finance, June 1996, 3: 405-418.
24. PERRON, PIERRE, 'The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,' Econometrica, November 1989, 57: 1361-1401.
25. PERRON, PIERRE AND T. VOGELSANG, 'Nonstationarity and level shifts with an application to Purchasing Power Parity,' Journal of Business Economics and Statistics, July 1992, 10: 301-320.
26. PHILLIPS, P.C.B., 'Time series regression with a unit root,' Econometrica, March 1987, 55: 277-301.
27. PIGOTT, CHARLES AND RICHARD J. SWEENEY, 'Purchasing Power Parity and exchange rate dynamics: some empirical results,' in S. Arndt, R.J. Sweeney and T.D. Willett, eds. Exchange Rates, Trade, and the U.S. Economy, Cambridge: Ballinger, 1985.
28. ROLL, RICHARD, 'Violations of Purchasing Power Parity and their implications for efficient international commodity markets,' in Marshall Sarnat and Giorgio Szego, eds. International Finance and Trade, Cambridge: Ballinger, 1979.
29. YOSHIKAWA, HIROSHI, 'On the equilibrium yen-dollar rate', American Economic Review, September 1990, 80: 576-583.