New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates
AbstractThe present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The estimates sustain the claim that New Zealand real exchange series are not stationary. However, it is shown that nonstationarity is compatible with parity reversion in the framework of fractional unit-root models.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 20 (1995)
Issue (Month): 4 ()
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- Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
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- Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
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