This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period. Copyright 2001 by Taylor and Francis Group
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Article provided by Taylor and Francis Journals in its journal Applied Economics.
Volume (Year): 33 (2001) Issue (Month): 5 (April) Pages: 683-88 Download reference. The following formats are available: HTML
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