Testing for Fractional Integration in SADC Real Exchange Rates
AbstractThis paper utilises “a class test for fractional integration” associated with the seminal contribution of Hinich and Chong (2007) to appraise the possibility that South African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering fractional integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are fractionally integrated. However, the results are found to be sensitive to the size of the sample.
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Bibliographic InfoPaper provided by University of Pretoria, Department of Economics in its series Working Papers with number 200811.
Length: 10 pages
Date of creation: Jun 2008
Date of revision:
Long Memory Processes; Real Exchange Rates; Mean-Reversion;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
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- Riané de Bruyn & Rangan Gupta & Lardo Stander, 2013.
"Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data,"
University of Finance and Management in Warsaw, vol. 7(1), March.
- Riane de Bruyn & Rangan Gupta & Lardo stander, 2011. "Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data," Working Papers 201134, University of Pretoria, Department of Economics.
- Thabo M. Mokoena & Gupta, R. & Van Eyden, R., 2009. "Half-Life Deviations from PPP in the South African Development Community (SADC)," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
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