Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates.: An article from: Journal of Money, Credit & Banking

This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 2002. The length of the article is 6638 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: New tests, based on smooth transition autoregressive models, for mean reversion in time series of real exchange rates are proposed. One test forces mean reversion to be symmetric about the integrated process central case, while the other permits asymmetry. The tests are applied to monthly series of seventeen real exchange rates against the U.S. dollar and fourteen against the deutsche mark. They reveal stronger evidence against the unit root null hypothesis than does the usual Dickey-Fuller test.

Citation Details
Title: Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates.
Author: Robert Sollis
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 2002
Publisher: Ohio State University Press
Volume: 34 Issue: 3 Page: 686(15)

Distributed by Thomson Gale