التفاصيل البيبلوغرافية
| العنوان: |
Long-run versus short-run behaviour of the real exchange rates. |
| المؤلفون: |
Costa, António A.1, Crato, Nuno1 ncrato@iseg.utl.pt |
| المصدر: |
Applied Economics. Apr2001, Vol. 33 Issue 5, p683-688. 6p. 3 Charts, 2 Graphs. |
| مصطلحات موضوعية: |
Foreign exchange rates, Foreign exchange, Time series analysis, Mathematical statistics, Purchasing power parity, Probability theory |
| مستخلص: |
This paper discusses the mean stationarity of real exchange rates by using new time series methods and new tests. The question whether the real exchange rates have a unit root or are level reverting is set in the general and flexible framework of fractionally integrated processes. The estimations and tests sustain the claim that real exchange rates may be nonstationary and not revert to any short-run parity. However, estimations also suggest that real exchange rates behave differently on the short and on the long run and that they may revert to parity in a century-long period. [ABSTRACT FROM AUTHOR] |
| قاعدة البيانات: |
Finance Source |
