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A revisit to the nonlinear stationarity of real exchange rates

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  • Jyh-Lin Wu
  • Chien-Chiang Lee

Abstract

This article applies the test by Kapetanios et al. (2003) to re-examine the nonlinear stationarity of real exchange rates in which we emphasize both the real bilateral exchange rates and the real effective exchange rates. Our empirical findings provide weak evidence on the nonlinear mean-reverting adjustment of real exchange rates in both fixed and floating regimes, which is in sharp contrast to that in the existing literature.

Suggested Citation

  • Jyh-Lin Wu & Chien-Chiang Lee, 2007. "A revisit to the nonlinear stationarity of real exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 15(2), pages 155-159.
    • Handle: RePEc:taf:apeclt:v:15:y:2007:i:2:p:155-159
    DOI: 10.1080/13504850600749065
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    Cited by:

    1. Tie‐Ying Liu & Chien‐Chiang Lee, 2022. "Exchange rate fluctuations and interest rate policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3531-3549, July.

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