haku: @indexterm International economics / yhteensä: 437
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| Tekijä: | Winkelmann, L. Winkelmann, R. |
| Otsikko: | The behavior of real exchange rates during the post-Bretton Woods period |
| Lehti: | Journal of International Economics
1998 : DEC, VOL. 46:2, p. 281-312 |
| Asiasana: | EXCHANGE RATES INTERNATIONAL ECONOMICS BEHAVIOURAL SCIENCE |
| Kieli: | eng |
| Tiivistelmä: | Since standard tests for mean reversion in real exchange rates may lack power with data spanning the recent float, researchers have employed more powerful multivariate tests. Such tests may, however, reject joint non-stationarity when just one of the processes is stationary. The authors suggest another test, easily constructed and with a known limiting distribution, whose null hypothesis is violated only when all of the processes in question are stationary. The authors investigate the finite-sample properties of both types of test by Monte Carlo simulation. |
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