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Searching Stationarity in the Real Exchange Rates: Application of the SUR Estimator

  • Tsung-Wu Ho

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    In the foreign exchange market, all national currencies are priced in terms of a common numeraire (usually the U.S. dollar); hence, cross-currency correlation is likely to be important in the empirical investigation of stationarity. Recently, the SUR estimator is employed to account for the effects of cross-currency correlation on the long-run purchasing power parity. Under the SUR framework, this paper examines the joint unit-root null and the ADF-based panel unit root. Data of 30 currencies, spans from 1980 to 1999, are used for empirical analysis and the results are supportive. Copyright Kluwer Academic Publishers 2002

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    File URL: http://hdl.handle.net/10.1023/A:1015295920889
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    Article provided by Springer in its journal Open Economies Review.

    Volume (Year): 13 (2002)
    Issue (Month): 3 (July)
    Pages: 275-289

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    Handle: RePEc:kap:openec:v:13:y:2002:i:3:p:275-289
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