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Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?

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  • Kawai, Masahiro
  • Ohara, Hidetaka

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Bibliographic Info

Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 11 (1997)
Issue (Month): 4 (December)
Pages: 523-547

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Handle: RePEc:eee:jjieco:v:11:y:1997:i:4:p:523-547

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Web page: http://www.elsevier.com/locate/inca/622903

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References

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 143-159, May.
  3. Allan W. Gregory, 1991. "Testing for Cointegration in Linear Quadratic Models," Working Papers, Queen's University, Department of Economics 811, Queen's University, Department of Economics.
  4. Crowder, William J, 1996. "A Reexamination of Long-Run PPP: The Case of Canada, the UK, and the US," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 4(1), pages 64-78, February.
  5. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 211-244.
  6. Richard Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas, issue Apr.
  7. Kim, Yoonbai, 1990. "Purchasing Power Parity in the Long Run: A Cointegration Approach," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 22(4), pages 491-503, November.
  8. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, Elsevier, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
  9. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262150476, December.
  10. Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, American Finance Association, vol. 38(5), pages 1471-87, December.
  11. Ceglowski, Janet, 1996. "The Real Yen Exchange Rate and Japanese Productivity Growth," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 4(1), pages 54-63, February.
  12. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  13. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, Elsevier, vol. 57(1-3), pages 53-68.
  14. Edison, Hali J, 1987. "Purchasing Power Parity in the Long Run: A Test of the Dollar/Pound Exchange Rate (1890-1978)," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 19(3), pages 376-87, August.
  15. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  16. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 33(1), pages 13-47, March.
  17. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  18. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 455-61, October.
  19. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  20. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 34(2), pages 647-668, June.
  21. Corbae, Dean & Ouliaris, Sam, 1988. "Cointegration and Tests of Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 70(3), pages 508-11, August.
  22. David R. Johnson, 1990. "Co-integration, Error Correction, and Purchasing Power Parity between Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 23(4), pages 839-55, November.
  23. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  24. Alston Flynn, N. & Boucher, Janice L., 1993. "Tests of long-run Purchasing Power Parity using alternative methodologies," Journal of Macroeconomics, Elsevier, Elsevier, vol. 15(1), pages 109-122.
  25. Baillie, Richard T. & Selover, David D., 1987. "Cointegration and models of exchange rate determination," International Journal of Forecasting, Elsevier, Elsevier, vol. 3(1), pages 43-51.
  26. Hamid Faruqee, 1995. "Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective," IMF Staff Papers, Palgrave Macmillan, Palgrave Macmillan, vol. 42(1), pages 80-107, March.
  27. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 488-509, June.
  28. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, Elsevier, vol. 28(1-2), pages 115-136, February.
  29. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 72, pages 584.
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Citations

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Cited by:
  1. Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2003. "The Real Exchange Rate in Small Open Developed Economies: Evidence from Cointegration Analysis," Working papers, University of Connecticut, Department of Economics 2003-27, University of Connecticut, Department of Economics.
  2. Urban, Dieter M., 2007. "Terms of trade, catch-up, and home-market effect: The example of Japan," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 21(4), pages 470-488, December.
  3. Fukuda, Shin-ichi & Kano, Takashi, 1997. "International Price Linkage within a Region: The Case of East Asia," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 11(4), pages 643-666, December.

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