Are Asian-Pacific Real Ezchange Rates Mean-Reverting?

摘要：

1.IntroductionVariations in the real exchange rate (RER) represent deviations from the purchasing power parity (PPP),a cornerstone in most of the open-economy macro models.The stationarity of RER has been tested to check whether PPP holds in the long run.Early studies using the conventional tests based on linear models failed to reject the null of unit root in the RER during the recent floats,implying the absence of any long-run tendency toward PPP (see,Froot and Rogoff,1996;Sarno,2005 for surveys).This was viewed as a result of low power of the statistical tests employed in rejecting a false null hypothesis.Failure to reject the null of unit root in the RER potentially poses troubles in building models of explaining many macro phenomena in the open economy context.

作者: Kim,Benjamin J.C. Perumal,Andrew

作者单位: Department of Economics,College of Business Administration,University of Nebraska-Lincoln Lincoln,NE University of Nebraska- Lincoln

会议类型: 国际会议

会议名称: PAN-PACIFIC CONFERENCE XXVI(“战略创新、协作融合泛太平洋管理学会第26届年会)

会议地点: 深圳

会议语种:英文

页码: 136-138

在线出版日期: 2009-06-01（万方平台首次上网日期，不代表论文的发表时间）