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Empirical Tests of Mean Reversion in Real Exchange Rates: A Survey

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  • Bleaney, Michael
  • Mizen, Paul

Abstract

Since the development of cointegration and unit root tests, these procedures have been applied widely to the relationship between nominal exchange rates and relative prices. The findings vary considerably for different time periods, exchange rate regimes and test procedures. These results have not previously been the subject of a comprehensive survey or evaluation. Suggestions are offered for the future development of research in this area. Copyright 1995 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Bulletin of Economic Research.

Volume (Year): 47 (1995)
Issue (Month): 3 (July)
Pages: 171-95

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Handle: RePEc:bla:buecrs:v:47:y:1995:i:3:p:171-95

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0307-3378

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Cited by:
  1. repec:wyi:wpaper:001961 is not listed on IDEAS
  2. Jerry Coakley & Stuart Snaith, 2004. "Testing for Long Run Relative PPP in Europe," Money Macro and Finance (MMF) Research Group Conference 2004 34, Money Macro and Finance Research Group.
  3. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  4. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
  5. Goldberg, Lawrence G. & Gosnell, Thomas F. & Okunev, John, 1997. "Purchasing power parity: Modeling and testing mean reversion," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 949-966, July.
  6. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  7. repec:wyi:journl:002068 is not listed on IDEAS
  8. Ndung'u, N.S., 1999. "Monetary and Exchange Rate Policy in Kenya," Papers 94, African Economic Research Consortium.

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