Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries? Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries?

Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries‪?‬

Southern Economic Journal 2008, April, 74, 4

Southern Economic Journal
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Publisher Description

1. Introduction The debate on the validity of the purchasing power parity (PPP) hypothesis continues. To test PPP, many researchers rely on evidence from unit root tests regarding the (non) stationarity of real exchange rates (RER). Initial studies, which were based on the augmented Dickey-Fuller (ADF) tests, showed evidence against the theory. The failure of validating PPP has been attributed to the low power of these tests. As a result, the literature has moved on in two new directions: While some researchers have turned to panel unit root tests, others have proposed alternative tests that emphasize a nonlinear stationary process. (1)

GENRE
Business & Personal Finance
RELEASED
2008
1 April
LANGUAGE
EN
English
LENGTH
39
Pages
PUBLISHER
Southern Economic Association
PROVIDER INFO
The Gale Group, Inc., a Delaware corporation and an affiliate of Cengage Learning, Inc.
SIZE
301.9
KB

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