MEAN REVERSION IN REAL EXCHANGE-RATES

Authors
CHEUNG YW LAI KS
Citation
Yw. Cheung et Ks. Lai, MEAN REVERSION IN REAL EXCHANGE-RATES, Economics letters, 46(3), 1994, pp. 251-256
Citations number
18
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
46
Issue
3
Year of publication
1994
Pages
251 - 256
Database
ISI
SICI code
0165-1765(1994)46:3<251:MRIRE>2.0.ZU;2-N
Abstract
A modified Dickey-Fuller test, which is approximately uniformly most p ower invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant su pport for mean reversion than the standard Dickey-Fuller test.