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Regime (non)stationarity in the US/UK real exchange rate

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  • Kanas, Angelos
  • Genius, Margarita

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 87 (2005)
Issue (Month): 3 (June)
Pages: 407-413

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Handle: RePEc:eee:ecolet:v:87:y:2005:i:3:p:407-413

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Flood, Robert P & Rose, Andrew K, 1996. "Fixes: Of the Forward Discount Puzzle," The Review of Economics and Statistics, MIT Press, vol. 78(4), pages 748-52, November.
  2. Hasan, Shahriar & Wallace, Myles, 1996. "Real exchange rate volatility and exchange rate regimes: Evidence from long-term data," Economics Letters, Elsevier, vol. 52(1), pages 67-73, July.
  3. Ben Bernanke & Mark Gertler, 2000. "Monetary Policy and Asset Price Volatility," NBER Working Papers 7559, National Bureau of Economic Research, Inc.
  4. Isaac, Alan G., 1998. "Risk premia and overshooting," Economics Letters, Elsevier, vol. 61(3), pages 359-364, December.
  5. Caporale, Guglielmo Maria & Pittis, Nikitas & Sakellis, Panayiotis, 2003. "Testing for PPP: the erratic behaviour of unit root tests," Economics Letters, Elsevier, vol. 80(2), pages 277-284, August.
  6. Sollis, Robert & Leybourne, Stephen & Newbold, Paul, 2002. "Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 686-700, August.
  7. Canzoneri, Matthew B & Nolan, Charles & Yates, Tony, 1996. "Mechanisms for Achieving Monetary Stability: Inflation Targeting Versus the ERM," CEPR Discussion Papers 1418, C.E.P.R. Discussion Papers.
  8. Chortareas, Georgios E. & Kapetanios, George & Shin, Yongcheol, 2002. "Nonlinear mean reversion in real exchange rates," Economics Letters, Elsevier, vol. 77(3), pages 411-417, November.
  9. Hasan, Mohammad S., 2004. "Univariate time series behaviour of the real exchange rate: evidence from colonial India," Economics Letters, Elsevier, vol. 84(1), pages 75-80, July.
  10. Anker, Peter, 1999. "Uncovered interest parity, monetary policy and time-varying risk premia," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 835-851, December.
  11. Choudhry, Taufiq & Luintel, Kul B., 2001. "The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania," Economics Letters, Elsevier, vol. 74(1), pages 25-30, December.
  12. Liew, Venus Khim-sen & Baharumshah, Ahmad Zubaidi & Chong, Terence Tai-leung, 2004. "Are Asian real exchange rates stationary?," Economics Letters, Elsevier, vol. 83(3), pages 313-316, June.
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Citations

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Cited by:
  1. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, School of Economics and Management, University of Aarhus.
  2. Camacho, Maximo, 2011. "Markov-switching models and the unit root hypothesis in real US GDP," Economics Letters, Elsevier, vol. 112(2), pages 161-164, August.
  3. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007,24, Christian-Albrechts-University of Kiel, Department of Economics.
  4. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
  5. Kanas, Angelos, 2008. "On real interest rate dynamics and regime switching," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2089-2098, October.
  6. Mark Holmes, 2008. "Real Exchange Rate Stationarity in Latin America and Relative Purchasing Power Parity: A Regime Switching Approach," Open Economies Review, Springer, vol. 19(2), pages 261-275, April.
  7. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  8. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June.
  9. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118.
  10. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  11. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach," Working Papers 0717, University of Crete, Department of Economics.
  12. Gadea, Maria Dolores & Gracia, Ana Belen, 2009. "European monetary integration and persistance of real exchange rates," Finance Research Letters, Elsevier, vol. 6(4), pages 242-249, December.
  13. Kuang-Liang Chang, 2012. "Stock return predictability and stationarity of dividend yield," Economics Bulletin, AccessEcon, vol. 32(1), pages 715-729.
  14. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299.
  15. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer, vol. 33(4), pages 393-409, October.
  16. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
  17. Robert Chambers & Vangelis Tzouvelekas, 2012. "Estimating Population Dynamics without Population Data," Working Papers 1210, University of Crete, Department of Economics.
  18. Holmes, Mark J. & Maghrebi, Nabil, 2008. "Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 958-970, October.
  19. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

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