Nonlinear mean reversion in real exchange rates

被引：67

作者：

Chortareas, GE

Kapetanios, G

Shin, Y

机构：

[1] Univ Edinburgh, Sch Econ, Edinburgh EH8 9JY, Midlothian, Scotland

[2] Natl Inst Econ & Social Res, London SW1P 3HE, England

[3] Univ Connecticut, Hartford, CT 06112 USA

来源：

ECONOMICS LETTERS | 2002年 / 77卷 / 03期

基金：

英国经济与社会研究理事会;

关键词：

PPP; real exchange rates; nonlinear STAR models; unit roots;

D O I：

10.1016/S0165-1765(02)00157-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper modifies a unit-root test procedure in the nonlinear STAR framework recently advanced by Kapetanios et al. [Journal of Econometrics (2001) in press]. Using a detrending methodology suggested by Schmidt and Phillips [Oxford Bulletin of Economics and Statistics 54 (1992) 257], we derive an alternative unit-root test and apply it to the bilateral real exchange rates for the G7 countries. We find that the use of our test is able to uncover evidence of nonlinear mean-reversion for most cases whereas the standard Dickey-Fuller test based on the linear model cannot. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：411 / 417

页数：7

共 20 条

[1] Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era [J].