The long-run behaviour of the real exchange rate: Evidence from colonial Pennsylvania

Economics Letters

Volumn 74, Issue 1, 2001, Pages 25-30

  Choudhry, Taufiq ^a   Luintel, Kul B ^b  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

ARFIMA; Exchange rate; F40; F41; Fractionally integrated; Mean reversion; Variance ratio

Indexed keywords

EID: 0035620392     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00532-8     Document Type: Article

References (7)

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5. Lo A., MacKinlay A.C. Stock market prices do not follow a random walk: evidence from a new specification test. Review of Financial Studies. 1:1988;41-67.
6. Lothian J., Taylor M. Real exchange rate behaviour: the recent float from the perspective of the past two centuries. Journal of Political Economy. 104:1996;488-509.
7. Mitchell B., Dean P. Abstract Of British Historical Statistics. 1962;Cambridge University Press, London.