메뉴 건너뛰기




Volumn 15, Issue 2, 2008, Pages 155-159

A revisit to the nonlinear stationarity of real exchange rates

Author keywords

[No Author keywords available]

Indexed keywords

EMPIRICAL ANALYSIS; NONLINEARITY; REAL EXCHANGE RATE;

EID: 36749051857     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850600749065     Document Type: Article
Times cited : (7)

References (13)
  • 1
    • 1342282497 scopus 로고    scopus 로고
    • The yen real exchange rate may be stationary after all: Evidence from nonlinear unit-root tests
    • Chortareas, G. and Kapetanios, G. (2004) The yen real exchange rate may be stationary after all: Evidence from nonlinear unit-root tests. Oxford Bulletin of Economics and Statistics, 66, pp. 113-131.
    • (2004) Oxford Bulletin of Economics and Statistics , vol.66 , pp. 113-131
    • Chortareas, G.1    Kapetanios, G.2
  • 2
    • 0036828678 scopus 로고    scopus 로고
    • Nonlinear mean reversion in real exchange rate
    • Chortareas, G., Kapetanios, G. and Shin, Y. (2002) Nonlinear mean reversion in real exchange rate. Economics Letters, 77, pp. 411-417.
    • (2002) Economics Letters , vol.77 , pp. 411-417
    • Chortareas, G.1    Kapetanios, G.2    Shin, Y.3
  • 3
    • 0000522890 scopus 로고
    • Dynamic equilibrium and real exchange rates in spatially separated world
    • Dumas, B. (1992) Dynamic equilibrium and real exchange rates in spatially separated world. Review of Financial Studies, 5, pp. 153-180.
    • (1992) Review of Financial Studies , vol.5 , pp. 153-180
    • Dumas, B.1
  • 4
    • 2542460208 scopus 로고    scopus 로고
    • Univariate time series behaviour of the real exchange rate: Evidence from colonial India
    • Hasan, MS (2004) Univariate time series behaviour of the real exchange rate: Evidence from colonial India. Economics Letters, 84, pp. 75-80.
    • (2004) Economics Letters , vol.84 , pp. 75-80
    • Hasan, M.S.1
  • 5
    • 0346724400 scopus 로고    scopus 로고
    • Testing for a unit root in the nonlinear STAR framework
    • Kapetanios, G., Shin, Y. and Snell, A. (2003) Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112, pp. 359-379.
    • (2003) Journal of Econometrics , vol.112 , pp. 359-379
    • Kapetanios, G.1    Shin, Y.2    Snell, A.3
  • 6
    • 0037403617 scopus 로고    scopus 로고
    • Why is it so difficult to beat the random walk forecast of exchange rates?
    • Kilian, L. and Taylor, MP (2003) Why is it so difficult to beat the random walk forecast of exchange rates?. Journal of International Economics, 60, pp. 85-107.
    • (2003) Journal of International Economics , vol.60 , pp. 85-107
    • Kilian, L.1    Taylor, M.P.2
  • 8
    • 0000017295 scopus 로고    scopus 로고
    • Transaction costs and nonlinear adjustment in real exchange rates: An empirical investigation
    • Michael, P., Nobay, AR and Peel, DA (1997) Transaction costs and nonlinear adjustment in real exchange rates: An empirical investigation. Journal of Political Economy, 105, pp. 862-879.
    • (1997) Journal of Political Economy , vol.105 , pp. 862-879
    • Michael, P.1    Nobay, A.R.2    Peel, D.A.3
  • 9
    • 0042071346 scopus 로고    scopus 로고
    • Further evidence on PPP adjustment speeds: The case of effective real exchange rates and the EMS
    • Paya, I., Venetis, IA and Peel, DA (2003) Further evidence on PPP adjustment speeds: The case of effective real exchange rates and the EMS. Oxford Bulletin of Economics and Statistics, 65, pp. 421-437.
    • (2003) Oxford Bulletin of Economics and Statistics , vol.65 , pp. 421-437
    • Paya, I.1    Venetis, I.A.2    Peel, D.A.3
  • 10
    • 0000248987 scopus 로고
    • Does the real exchange rate follow a random walk? The Pacific basin perspective
    • Phylaktis, K. and Kassimatis, Y. (1994) Does the real exchange rate follow a random walk? The Pacific basin perspective. Journal of International Money and Finance, 13, pp. 476-495.
    • (1994) Journal of International Money and Finance , vol.13 , pp. 476-495
    • Phylaktis, K.1    Kassimatis, Y.2
  • 11
    • 31744444959 scopus 로고    scopus 로고
    • Real exchange rates and purchasing power parities: Mean reversion in economic thought
    • Taylor, MP (2006) Real exchange rates and purchasing power parities: mean reversion in economic thought. Applied Financial Economics, 16, pp. 1-17.
    • (2006) Applied Financial Economics , vol.16 , pp. 1-17
  • 13
    • 0003045718 scopus 로고    scopus 로고
    • Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles
    • Taylor, MP, Peel, DA and Sarno, L. (2001) Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles. International Economic Review, 42, pp. 1015-1042.
    • (2001) International Economic Review , vol.42 , pp. 1015-1042
    • Taylor, M.P.1    Peel, D.A.2    Sarno, L.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.