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Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do They Matter (for Unit Root Testing)? What are the Most Likely Triggers?

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  • Cyril May

Abstract

There is a theoretical case for real exchange rates to be stationary, but conventional unit root tests generally find nonstationarity in most economic data expressed in nominal terms; exchange rates in particular. Perron (1989) questioned the latter interpretation on the basis that the presence of a unit root may be a manifestation of not allowing […]

Suggested Citation

  • Cyril May, 2013. "Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do They Matter (for Unit Root Testing)? What are the Most Likely Triggers?," Working Papers 359, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:359
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    Cited by:

    1. Afees A. Salisu & Taofeek O. Ayinde, 2016. "Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa," Journal of African Business, Taylor & Francis Journals, vol. 17(3), pages 342-359, September.

    More about this item

    Keywords

    Exchange rate; Time Series Analysis;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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