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New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates

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  • Wu, Ping
  • Crato, Nuno

Abstract

The 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 Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 20 (1995)
Issue (Month): 4 ()
Pages: 599-613

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Handle: RePEc:spr:empeco:v:20:y:1995:i:4:p:599-613

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Cited by:
  1. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  2. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  3. 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.
  4. 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 Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.

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