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    题名: The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach
    作者: Kuo, Biing-Shen;Mikkola, Anne
    郭炳伸
    贡献者: 國貿系
    关键词: Purchasing Power Parity;Real Exchange Rate;Unit Root
    日期: 1997
    上传时间: 2015-04-02 11:33:11 (UTC+8)
    摘要: 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.
    關聯: No 1716, CEPR Discussion Papers from C.E.P.R. Discussion Papers
    数据类型: conference
    显示于类别:[國際經營與貿易學系 ] 會議論文

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