Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates

被引：45

作者：

Cheung, YW ^{[1
]}

Lai, KS

机构：

[1] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA

[2] Calif State Univ Los Angeles, Dept Econ, Los Angeles, CA 90032 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2001年 / 20卷 / 01期

关键词：

purchasing power parity; long-memory dynamics; long swings; amplified shock response; non-monotonic mean reversion;

D O I：

10.1016/S0261-5606(00)00037-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The extraordinary difficulty in uncovering parity reversion in yen-based real exchange rates has often been ascribed to a missing trend variable. This study identifies an alternative explanation and shows that the puzzling behavior of real yen rates may stem from long-memory dynamics, which undermine unit-root tests in their ability to detect mean reversion. The long-memory findings are consistent with the long swings in yen exchange rates during the current float. Further analysis also reveals evidence of non-monotonic reversion toward parity. (C) 2001 Elsevier Science Ltd. All rights reserved. JEL classification: F31; F41.

引用

页码：115 / 132

页数：18