Nonparametric cointegration analysis of real exchange rates
AbstractThis study indirectly addresses the issue of potential nonlinearities in real exchange rate adjustment for 18 OECD economies 1973-1998 using recent developments in the theory of nonparametric cointegration. While the standard Johansen tests yield mixed evidence, the results from a new nonparametric approach are clearly supportive of real exchange rate stationarity. Since the latter approach allows for a relatively general data-generating process, the findings are consistent with nonlinear mean reversion.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 11 (2001)
Issue (Month): 1 ()
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