Real exchange rates and structural breaks

Applied Economics

Volumn 28, Issue 2, 1996, Pages 209-219

  Dropsy, Vincent ^a  

^a CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039640503     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368496328849     Document Type: Article

References (46)

1. Abuaf, N. and Jorion, P. (1990) Purchasing power parity in the long run, Journal of Finance, 45, 157-73.
2. Banerjee, A. and Hendry, D. (1992) Testing integration and cointegration: an overview, Oxford Bulletin of Economics and Statistics, special issue on cointegration, 54, 225-55.
3. Banerjee, A., Lumsdaine, R. and Stock, J. (1992) Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence, Journal of Business and Economic Statistics, 10, 271-88.
4. Bromeling, L. and Tsurumi, H. (1987) Econometrics and Structural Changes (Marcel Dekker, New York).
5. Brown, R. L., Durbin, J. and Evans, J. M. (1975) Techniques for testing the constancy of regression relationships over time, Journal of the Royal Statistical Society, B-37, 149-92.
6. Cheung, Y.-W., Fung, H.-G., Lai, K. and Lo, W.-C. (1995) Purchasing power parity under the European Monetary System, Journal of International Money and Finance, 14, 179-89.
7. Chinn, M. and Meese, R. (1995) Banking on currency forecasts: how predictable is change in money? Journal of International Economics, 38, 161-78.
8. Chow, G. (1960) Tests of equality between sets of coefficients in two linear regressions, Econometrica, 28, 591-605.
9. Davidson, J. (1994) Identifying cointegrating regressions by the rank condition, Oxford Bulletin of Economics and Statistics, 56, 105-9.
10. DeJong, D. and Husted, S. (1993) Towards a reconciliation of the empirical evidence on the monetary approach to exchange rate determination, Review of Economics and Statistics, 70, 123-7.
11. Engle, R. and Yoo, B. S. (1987) Forecasting and testing in cointegrated systems, Journal of Econometrics, 35, 143-59.
12. Engle, R. and Granger, C. W. J. (Eds) (1991) Long-Run Economic Relationships: Readings in Cointegration (Oxford University Press, Oxford).
13. Fisher, E. and Park, J. (1991) Testing purchasing power parity under the null hypothesis of co-integration, Economic Journal, 101, 1476-84.
14. Fraser, P., Taylor, M. and Webster, A. (1991) An empirical examinations of long-run purchasing power parity as theory of international commodity arbitrage, Applied Economics, 23, 1749-59.
15. Glen, J. (1992) Real exchange rates in the short, medium and long run, Journal of International Economics, 33, 147-66.
16. Goldfeld, S. and Quandt R. (1973a) A Markov model for switching regression. Journal of Econometrics, 1, 3-16.
17. Goldfeld, S. and Quandt, R. (1973b) The estimation of structural shifts by switching regressions, Annals of Economic and Social Measurements, 2, 475-85.
18. Hackl, P. (Ed.) (1989) Statistical Analysis and Forecasting of Economic Structural Change (Springer-Verlag, Berlin).
19. Hackl, P. and Westlund, A. (Ed.) (1991) Economic structural change: analysis and forecasting (Springer-Verlag, Berlin).
20. Hakkio, C. and Rush, M. (1991) Cointegration: how short is the lone run? Journal of International Money and Finance, 10, 571-81.
21. Hakkio, C. (1992) Is purchasing power parity a useful guide to the dollar? Federal Reserve Bank of Kansas City Economic Review, 37-51.
22. Haug, A. (1993) Residual based tests for cointegration: a Monte Carlo study of size distortions. Economic Letters, 41, 345-51.
23. Howrey, P. (1994) Exchange rate forecasts with the Michigan Quarterly Econometric Model of the US Economy, Journal of Banking and Finance, 18, 27-41.
24. Johanssen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-54.
25. Johansen, S. (1991) Estimation and hypothesis testing of Cointegration vectors in Gaussian vector autoregressive models, Econometrica, 6, 1551-80.
26. Kim, K. and Schmidt, P. (1993) Unit root test with conditional heteroscedasticity, Journal of Econometrics, 59, 287-300.
27. Kramer, W. (Ed.) (1989) Econometrics of Structural Changes, Studies in Empirical Economics (Physica-Verlag, Heidelberg).
28. Kugler, P. and Carlos, L. (1993) Multivariate cointegration analysis and the long-run validity of PPP, Review of Economics and Statistics, 70, 180-4.
29. Lucas, R. (1976) Econometric policy evaluation: a critique, in The Phillips Curve and Labor Markets (Eds) K. Brunner and A. Meltzer (North-Holland, Amsterdam).
30. Mark, N. (1990) Real and nominal exchange rates in the long run: an empirical investigation. Journal of International Economics, 28, 115-36.
31. Mark, N. (1995) Exchange rates and fundamentals: evidence on long-horizon predictability, American Economic Review, 85, 201-18.
32. McDonald, R. and Taylor, M. (1992) Exchange rate economics: a survey, IMF Staff Papers, 39, 1-57.
33. McDonald, R. and Taylor, M. (1993) The monetary approach to the exchange rate: rational expectations, long-run equilibrium and forecasting, IMF Staff Papers, 40, 89-107.
34. McDonald, R. and Taylor, M. (1994) The monetary approach to the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk, Journal of International Money and Finance, 13, 276-90.
35. MacKinnon, J. (1991) Critical values for cointegration tests, in Long-Run Economic Relationships: Readings in Cointegration (Eds). R. Engle and C. W. J. Granger (Oxford University Press, Oxford).
36. Meese, R. (1990) Currency fluctuations in the post-Bretton Woods era, Journal of Economic Perspectives, 4, 117-34.
37. Patel, J. (1990) Purchasing power parity as a long run relation, Journal of Applied Econometrics, 5, 367-79.
38. Perron, P. (1989) The Great Crash, the oil-price shock, and the unit root hypothesis, Econometrica, 57, 1361-401.
39. Perron, P. and Vogelsang, T. (1992) Nonstationarity and level shifts with an application to purchasing power parity, Journal of Business and Economic Statistics, 10, 301-20.
40. Phillips, P. and Loretan, M. (1991) Estimating long-run economic equilibria, Review of Economic Studies, 58, 407-36.
41. Ploberger, W., Kramer, W. and Kontrus, K. (1989) A new test for structural stability in the linear regression model. Journal of Econometrics, 40, 307-18.
42. Ploberger, W. and Kramer, W. (1992) The CUSUM test with OLS residuals, Econometrica, 60, 271-385.
43. Stein, J. (1990) The real exchange rate. Journal of Banking and Finance, 14, 1045-78.
44. Stock, J. and Watson, M. (1988) Testing for common trends, Journal of the American Statistical Association, 83, 1097-107.
45. Taylor, M. (1990) On unit roots and real exchange rates: empirical evidence and Monte Carlo analysis. Applied Economics, 22, 1311-21.
46. Wright, J. H. (1993) The CUSUM test based on least squares residuals in regressions with integrated variables, Economics Letters, 41, 353-8.