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Efficient unit root tests of real exchange rates in the post-Bretton Woods era

Listed author(s):
  • Francis Ahking

    ()

    (University of Connecticut)

We apply the efficient unit root tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1999) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one real exchange rates, the null hypothesis of a unit root can be rejected at the 10% significance level or better using the the Elliott et al. (1996) test. Using the Elliott (1999) test, we have only nine rejections out of the twenty-one real exchange rates at the 10% significance level or better. We also find no strong evidence to suggest that the use of non-U.S. dollar based real exchange rates tend to produce more favorable result for long-run PPP than the use of U.S. dollar based real exchange rates as Lothian (1998) has concluded.

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File URL: http://www.accessecon.com/pubs/EB/2003/Volume6/EB-03F30004A.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 6 (2003)
Issue (Month): 7 ()
Pages: 1-12

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Handle: RePEc:ebl:ecbull:eb-03f30004
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