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Real exchange rates under the recent float: unequivocal evidence of mean reversion

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Cited by:

  1. Lee, Chien-Chiang & Lee, Jun-De, 2009. "Income and CO2 emissions: Evidence from panel unit root and cointegration tests," Energy Policy, Elsevier, vol. 37(2), pages 413-423, February.
  2. Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2012. "Persistence Of Regional Unemployment: Application Of A Spatial Filtering Approach To Local Labor Markets In Germany," Journal of Regional Science, Wiley Blackwell, vol. 52(2), pages 300-323, May.
  3. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
  4. Madeira, Makharam & Masih, Mansur, 2017. "Does the purchasing power parity theory hold for Malaysia ?," MPRA Paper 100017, University Library of Munich, Germany.
  5. Holmes, Mark J, 2003. "Are the Trade Deficits of Less Developed Countries Stationary?. Evidence for African Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
  6. Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
  7. Weshah Razzak, "undated". "In the Middle of the Heat The GCC Countries Between Rising Oil Prices and the Sliding Greenback," API-Working Paper Series 0801, Arab Planning Institute - Kuwait, Information Center.
  8. Yin-Wong Cheung & Antonio Garcia Pascual, 2004. "Testing for output convergence: a re-examination," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 45-63, January.
  9. Richard A. Ashley & Christopher F. Parmeter, 2013. "Sensitivity Analysis For Inference In 2SLS Estimation With Possibly-Flawes Instruments," Working Papers e07-38, Virginia Polytechnic Institute and State University, Department of Economics.
  10. Robert Sollis & Mark E. Wohar, 2006. "The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 139-153.
  11. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
  12. Vasudeva N. R. Murthy & Emmanuel Anoruo, 2009. "Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?," Economics Bulletin, AccessEcon, vol. 29(4), pages 2492-2504.
  13. Elberg, Andrés, 2016. "Sticky prices and deviations from the Law of One Price: Evidence from Mexican micro-price data," Journal of International Economics, Elsevier, vol. 98(C), pages 191-203.
  14. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2002. "A simple test for PPP among traded goods," Econometric Institute Research Papers EI 2002-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Francis Ahking, 2003. "Efficient unit root tests of real exchange rates in the post-Bretton Woods era," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
  16. Weshah Razzak & Elmostafa Bentour, 2012. "Do Developing Countries Benefit from Foreign Direct Investments?," EERI Research Paper Series EERI_RP_2012_07, Economics and Econometrics Research Institute (EERI), Brussels.
  17. Jean-Francois Hoarau & Stephane Blancard & Philippe Jean-Pierre, 2009. "Testing for nominal convergence in the Central American area: evidence from panel data unit-root tests," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1171-1174.
  18. Cabas, Juan H. & Leiva, Akssell J. & Weersink, Alfons, 2008. "Modeling Exit and Entry of Farmers in a Crop Insurance Program," Agricultural and Resource Economics Review, Cambridge University Press, vol. 37(1), pages 92-105, April.
  19. Camarero, Mariam, & Flôres, R. & C. Tamarit, 2002. "Time series evidence of international output convergence in Mercosur," Computing in Economics and Finance 2002 87, Society for Computational Economics.
  20. Weshah A. Razzak & Jason C. Timmins, 2008. "A Macroeconomic Perspective On Skill Shortages And The Skill Premium In New Zealand," Australian Economic Papers, Wiley Blackwell, vol. 47(1), pages 74-91, March.
  21. repec:prg:jnlpep:v:preprint:id:654:p:1-10 is not listed on IDEAS
  22. Sarantis, Nicholas & Stewart, Chris, 1999. "Is the consumption-income ratio stationary? Evidence from panel unit root tests," Economics Letters, Elsevier, vol. 64(3), pages 309-314, September.
  23. Ho, Tsung-Wu, 2003. "A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 542-559.
  24. Berk, Jan Marc & Swank, Job, 2011. "Price level convergence and regional Phillips curves in the US and EMU," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 749-763, September.
  25. Barkoulas, John & Baum, Christopher F. & Chakraborty, Atreya, 2003. "Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums," Journal of Macroeconomics, Elsevier, vol. 25(1), pages 109-122, March.
  26. Fischer, Christoph, 2004. "PPP: a Disaggregated View," Discussion Paper Series 1: Economic Studies 2004,07, Deutsche Bundesbank.
  27. Camarero, Mariam & Picazo-Tadeo, Andrés J. & Tamarit, Cecilio, 2008. "Is the environmental performance of industrialized countries converging? A 'SURE' approach to testing for convergence," Ecological Economics, Elsevier, vol. 66(4), pages 653-661, July.
  28. Christopoulos, Dimitris K. & León-Ledesma, Miguel A., 2010. "Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1076-1093, October.
  29. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
  30. Vuong, Quan-Hoang, 2003. "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," OSF Preprints ahrjd, Center for Open Science.
  31. Bayer Christian & Jüßen Falko, 2007. "Convergence in West German Regional Unemployment Rates," German Economic Review, De Gruyter, vol. 8(4), pages 510-535, December.
  32. Lucio Sarno, 2005. "Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 673-708, August.
  33. Isabel Maria Bodas Freitas & Michiko Iizuka, 2008. "Standards compliance as an alternative learning opportunity under globalization in Latin America," SPRU Working Paper Series 172, SPRU - Science Policy Research Unit, University of Sussex Business School.
  34. Jason Allen & Walter Engert & Ying Liu, 2006. "Are Canadian Banks Efficient? A Canada--U.S. Comparison," Staff Working Papers 06-33, Bank of Canada.
  35. Robin Johnson & W. A. Razzak & Steven Stillman, 2007. "Has New Zealand benefited from its investments in research & development?," Applied Economics, Taylor & Francis Journals, vol. 39(19), pages 2425-2440.
  36. Camarero, Mariam & Flores, Renato Jr. & Tamarit, Cecilio R., 2006. "Monetary union and productivity differences in Mercosur countries," Journal of Policy Modeling, Elsevier, vol. 28(1), pages 53-66, January.
  37. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  38. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.
  39. Taylor Mark P. & Sarno Lucio, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-26, October.
  40. Lau, Chi Keung Marco & Suvankulov, Farrukh & Su, Yongyang & Chau, Frankie, 2012. "Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test," Economic Modelling, Elsevier, vol. 29(3), pages 810-816.
  41. repec:ebl:ecbull:v:3:y:2004:i:33:p:1-9 is not listed on IDEAS
  42. Isabel Maria Bodas Freitas & Michiko Iizuka, 2012. "A multi-level analysis of the diffusion of standards compliance in Latin America," Grenoble Ecole de Management (Post-Print) hal-01487512, HAL.
  43. Joseph Byrne & Giorgio Fazio & Davide Piacentino, 2009. "Total Factor Productivity Convergence among Italian Regions: Some Evidence from Panel Unit Root Tests," Regional Studies, Taylor & Francis Journals, vol. 43(1), pages 63-76.
  44. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  45. Jason Allen & Ying Liu, 2007. "Efficiency and economies of scale of large Canadian banks," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(1), pages 225-244, February.
  46. Robert McKeown, 2017. "Costs, Size And Returns To Scale Among Canadian And U.s. Commercial Banks," Working Paper 1382, Economics Department, Queen's University.
  47. Furuoka, Fumitaka & Pui, Kiew Ling & Ezeoke, Chinyere Mary Rose & Jacob, Ray Ikechukwu & Yaya, OlaOluwa S, 2019. "Growth Slowdowns and Middle-Income Trap: Evidence from New Unit Root Framework," MPRA Paper 98672, University Library of Munich, Germany.
  48. H. Levent Korap & Ozgur Aslan, 2010. "Re-examination of the long-run purchasing power parity: further evidence from Turkey," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3559-3564.
  49. Prudence Serju, 2007. "Estimating Potential Output for Jamaica: a Structural VAR Approach," Money Affairs, CEMLA, vol. 0(1), pages 1-22, January-J.
  50. Baotai Wang & Ajit Dayanandan, 2006. "Unit Root Tests of Canadian Poverty Measures," Economics Bulletin, AccessEcon, vol. 9(2), pages 1-7.
  51. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
  52. Ahmad Zubaidi Baharumshah & Chan Tze Haw & A.Mansur M. Masih & Evan Lau, 2011. "Financial integration of East Asian economies: evidence from real interest parity," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1979-1990.
  53. Jan Bentzen & Erik Madsen & Valdemar Smith & Mogens Dilling-Hansen, 2005. "Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 32(2), pages 217-230, June.
  54. Burak Güriş & Muhammed Tiraşoğlu, 2018. "The Validity of Purchasing Power Parity in BRICS Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(4), pages 417-426.
  55. Razzak Weshah A. & Bentour El M., 2013. "Do Developing Countries Benefit from Foreign Direct Investments? An Analysis of Some Arab and Asian Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 9(3), pages 357-388, December.
  56. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  57. Ladislava Grochova & Ludek Kouba, 2010. "Elite Political Instability and Economic Growth: An Empirical Evidence from the Baltic States," MENDELU Working Papers in Business and Economics 2010-01, Mendel University in Brno, Faculty of Business and Economics.
  58. Weshah Razzak, "undated". "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center.
  59. Dimitrios Sideris, 2006. "Purchasing Power Parity in economies in transition: evidence from Central and East European countries," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 135-143.
  60. Prosper F. Bangwayo-Skeete & Ryan W. Skeete, 2007. "Regional Integration and Elasticities of Export Demand in Barbados," Money Affairs, CEMLA, vol. 0(1), pages 23-41, January-J.
  61. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "New evidence on the convergence of per capita carbon dioxide emissions from panel seemingly unrelated regressions augmented Dickey–Fuller tests," Energy, Elsevier, vol. 33(9), pages 1468-1475.
  62. Robert J. Sonora & Josip Tica, 2008. "Structural breaks and Purchasing Power Parity in the CEE and Post-War former Yugoslav States," EFZG Working Papers Series 0804, Faculty of Economics and Business, University of Zagreb.
  63. Pedro Pérez-Pascual & Basilio Sanz-Carnero, 2011. "Law of one price: evidence from the Spanish wheat market," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 47(2), pages 329-351, October.
  64. Tsangyao Chang & Ding Li & Yang-Cheng Lu & Chia-Hao Lee, 2011. "Purchasing power parity for East-Asia countries: further evidence based on panel stationary test with multiple structural breaks," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3289-3298.
  65. Danny Leung & Terence Yuen, 2007. "Labour Market Adjustments to Exchange Rate Fluctuations: Evidence from Canadian Manufacturing Industries," Open Economies Review, Springer, vol. 18(2), pages 177-189, April.
  66. Scott Barnhart & Robert McNown & Myles Wallace, 2002. "Some answers to puzzles in testing unbiasedness in the foreign exchange market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 687-696.
  67. Robert McKeown, 2017. "Where Are The Economies Of Scale In Canadian Banking?," Working Paper 1380, Economics Department, Queen's University.
  68. Alfons Weersink & Juan H. Cabas & Edward Olale, 2010. "Acreage Response to Weather, Yield, and Price," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 58(1), pages 57-72, March.
  69. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), "undated". "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  70. Christev, Atanas & Noorbakhsh, Abbas, 2000. "Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries," Global Finance Journal, Elsevier, vol. 11(1-2), pages 87-108.
  71. Mkenda, Beatrice Kalinda, 2001. "An Empirical Test of Purchasing Power Parity in Selected African Countries - a Panel Data Approach," Working Papers in Economics 39, University of Gothenburg, Department of Economics.
  72. Evan Lau & Ahmad Zubaidi Baharumshah, 2005. "Assessing The Mean Reversion Behavior Of Fiscal Policy: The Case Of Asian Countries," Macroeconomics 0504002, University Library of Munich, Germany.
  73. Sadullah Celik & Huseyin Kaya, 2010. "Real exchange rates and bilateral trade dynamics of Turkey: panel cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 17(8), pages 791-795.
  74. Janice Boucher Breuer & Robert McNown & Myles Wallace, 2002. "Series‐specific Unit Root Tests with Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 527-546, December.
  75. Mark J. Holmes, 2004. "Current Account Deficits in the Transition Economies," Prague Economic Papers, Prague University of Economics and Business, vol. 2004(4), pages 347-358.
  76. T.J. Brailsford & J. H.W. Penm & R.D. Terrell, 2006. "The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 153-178, September.
  77. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
  78. Lau, Evan & Zubaidi Baharumshah, Ahmad, 2005. "Mean-reverting behavior of current account in Asian countries," Economics Letters, Elsevier, vol. 87(3), pages 367-371, June.
  79. Saeed Heravi & Kerry Patterson, 2005. "Optimal And Adaptive Semi‐Parametric Narrowband And Broadband And Maximum Likelihood Estimation Of The Long‐Memory Parameter For Real Exchange Rates," Manchester School, University of Manchester, vol. 73(2), pages 165-213, March.
  80. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  81. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
  82. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
  83. Christian Dreger & Hans-Eggert Reimers, 2009. "Hysteresis in the development of unemployment: the EU and US experience," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(4), pages 267-276, December.
  84. Ahmad Zubaidi Baharumshah & Evan Lau & Mudziviri T. Nziramasanga, 2010. "Purchasing Power Parity In African Countries: Evidence From Panel Suradf Test," South African Journal of Economics, Economic Society of South Africa, vol. 78(1), pages 40-56, March.
  85. Richard A. Ashley & Kwok Ping Tsang, 2013. "International Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?," Working Papers e07-42, Virginia Polytechnic Institute and State University, Department of Economics.
  86. Lucio Sarno, 2000. "Systematic sampling and real exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(1), pages 24-57, March.
  87. Arsalan, Rahmatullah, 2019. "Foreign Aid and Economic Development A study of Foreign Aid and Its Effects and Relationship with Per Capita Income of Afghanistan," MPRA Paper 96136, University Library of Munich, Germany, revised Sep 2019.
  88. Joseph Byrne & Giorgio Fazio & Davide Piacentino, 2005. "Convergence in TFP among Italian Regions - Panel Unit Roots with Heterogeneity and Cross Sectional Dependence," ERSA conference papers ersa05p591, European Regional Science Association.
  89. Ho, Tsung-wu, 2008. "Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator," Economics Letters, Elsevier, vol. 99(2), pages 314-316, May.
  90. Camarero, Mariam & Tamarit, Cecilio, 2004. "Hysteresis vs. natural rate of unemployment: new evidence for OECD countries," Economics Letters, Elsevier, vol. 84(3), pages 413-417, September.
  91. Breuer, Janice B. & McNown, Robert & Wallace, Myles, 2000. "The Quest for Purchasing Power Parity with a Series-specific Unit Root Test Using Panel Data," Working Papers 112956, Clemson University, Center for International Trade.
  92. Wu, Jhy-Lin & Chen, Show-Lin, 2001. "Mean Reversion of Interest Rates in the Eurocurrency Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 459-473, September.
  93. Alicia García-Herrero & Josep Vilarrubia Author-Workplace-Name: Banco Central de la República Argentina, 2007. "The Laffer Curve of Macroeconomic Volatility and Growth: Can it be Explained by the Different Nature of Crises?," Money Affairs, CEMLA, vol. 0(1), pages 43-60, January-J.
  94. Andres Elberg, 2014. "Temporal Aggregation and Convergence to the Law of One Price: Evidence from Micro Data," Working Papers 53, Facultad de Economía y Empresa, Universidad Diego Portales.
  95. Tsung-Wu Ho, 2002. "Searching Stationarity in the Real Exchange Rates: Application of the SUR Estimator," Open Economies Review, Springer, vol. 13(3), pages 275-289, July.
  96. Hagen, Tobias, 2003. "Three Approaches to the Evaluation of Active Labour Market Policy in East Germany Using Regional Data," ZEW Discussion Papers 03-27, ZEW - Leibniz Centre for European Economic Research.
  97. repec:ebl:ecbull:v:9:y:2006:i:2:p:1-7 is not listed on IDEAS
  98. Mariam Camarero & Juan Carlos Cuestas & Javier Ordonez, 2006. "Purchasing Power Parity versus the EU in the Mediterranean countries," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 157-167.
  99. Christian Bayer & Falko Jüßen, 2007. "Convergence in West German Regional Unemployment Rates," German Economic Review, Verein für Socialpolitik, vol. 8(4), pages 510-535, November.
  100. Chang, Chun-Ping & Lee, Chien-Chiang, 2008. "Are per capita carbon dioxide emissions converging among industrialized countries? New time series evidence with structural breaks," Environment and Development Economics, Cambridge University Press, vol. 13(4), pages 497-515, August.
  101. Jason Allen & Walter Engert & Ying Liu, 2007. "A Comparison of Canadian and US Universal Banks: Efficiency, Productivity, and the Role of Technology," Money Affairs, CEMLA, vol. 0(1), pages 61-96, January-J.
  102. Bodas Freitas, Isabel Maria & Iizuka, Michiko, 2012. "Openness to international markets and the diffusion of standards compliance in Latin America. A multi level analysis," Research Policy, Elsevier, vol. 41(1), pages 201-215.
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