IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v69y2000i3p285-288.html

Mean reversion in the real exchange rates

Author

Listed:
  • Gil-Alana, Luis A.

Abstract

No abstract is available for this item.

Suggested Citation

  • Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    • Handle: RePEc:eee:ecolet:v:69:y:2000:i:3:p:285-288
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(00)00318-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    3. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
    2. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.
    4. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    5. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
    6. Christian Macaro, 2007. "The Impact of Vintage on the Persistence of Gross Domestic Product Shocks," CEIS Research Paper 101, Tor Vergata University, CEIS.
    7. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    8. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
    9. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
    10. Adelina Gschwandtner & Michael Hauser, 2008. "Modelling profit series: nonstationarity and long memory," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1475-1482.
    11. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    12. Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
    13. Patrick K. Asea & Michael J. Dueker, 1995. "Non-monotonic long memory dynamics in black-market premia," Working Papers 1995-003, Federal Reserve Bank of St. Louis.
    14. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
    15. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
    16. Christophe Andr頍 & Luis A. Gil-Alana & Rangan Gupta, 2014. "Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2127-2138, June.
    17. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
    18. Shi-Miin Liu & Chih-Hsien Chou, 2003. "Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 13(12), pages 899-911.
    19. Claudio Michelacci, 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Working Papers wp1999_9906, CEMFI.
    20. Giovanni Caggiano & Leone Leonida, 2009. "International output convergence: evidence from an autocorrelation function approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 139-162.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:69:y:2000:i:3:p:285-288. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.