New Tests for Stationarity and Parity Reversion: Evidence on New Zealand Real Exchange Rates
The present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The estimates sustain the claim that New Zealand real exchange series are not stationary. However, it is shown that nonstationarity is compatible with parity reversion in the framework of fractional unit-root models.
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Volume (Year): 20 (1995)
Issue (Month): 4 ()
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