The behavior of real exchange rates during the post-Bretton Woods period

• 成果类型: Article; Proceedings Paper
• 署名作者: Taylor, MP; Sarno, L
• 署名单位: University of Oxford; Centre for Economic Policy Research - UK; University of Oxford
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00054-8
• 发表日期: 1998
• 页码: 281-312
• 关键词: Real exchange rates; Purchasing power parity; multivariate unit root test; test power; Monte Carlo simulation

摘要

Since standard tests for mean reversion in real exchange rates may lack power with data spanning the recent float, researchers have employed more powerful multivariate tests. Such tests may, however, reject joint non-stationarity when just one of the processes is stationary. We suggest another test, easily constructed and with a known limiting distribution, whose null hypothesis is violated only when all of the processes in question are stationary. We investigate the finite-sample properties of both types of test by Monte Carlo simulation. Finally, we apply the tests to real exchange rates among the G5 over the recent float. (C) 1998 Elsevier Science B.V. All lights reserved.