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Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
Robert Sollis, Stephen Leybourne and Paul Newbold
Journal of Money, Credit and Banking
Vol. 34, No. 3, Part 1 (Aug., 2002), pp. 686-700
Published by: Ohio State University Press
Stable URL: http://www.jstor.org/stable/3270738
Page Count: 15
You can always find the topics here!Topics: Property reversion, Real exchange rates, Null hypothesis, Exchange rates, Purchasing power parity, Statistical models, Critical values, Least squares, Bank credit, Logarithms
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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.
Journal of Money, Credit and Banking © 2002 Ohio State University Press