政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/74334

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51077528 Online Users : 904

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of International Business > Proceedings > Item 140.119/74334

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74334

Title:	The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach
Authors:	Kuo, Biing-Shen;Mikkola, Anne 郭炳伸
Contributors:	國貿系
Keywords:	Purchasing Power Parity;Real Exchange Rate;Unit Root
Date:	1997
Issue Date:	2015-04-02 11:33:11 (UTC+8)
Abstract:	The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we applied in this paper is in emphasizing the information content of the data in distinguishing between the competing processes. Stationary and non-stationary ARIMA processes are fitted to the US/UK real exchange rate series covering 134 years. Artificial data following these two processes are generated, and the small sample distributions of the chosen test statistics (including the most powerful point optimal tests with both the unit root and the stationarity as a null) are computed under each of the two hypotheses. The values of the actual sample statistics are shown to be more likely to come from the stationary process than from the non-stationary one.
Relation:	No 1716, CEPR Discussion Papers from C.E.P.R. Discussion Papers
Data Type:	conference
Appears in Collections:	[Department of International Business] Proceedings

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	1195	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...