Parity Reversion in Real Exchange Rates During the Post-Bretton Woods PeriodDepartment of Economics, University of California, Santa Cruz, 1996 - Foreign exchange rates - 14 pages |
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1993 The Economic ADF test Alan Richards analysis Augmented Dickey-Fuller Test Capital Mobility Chinn Jeffrey cointegration current float Daniel Friedman December DF-GLS test DF-WS test results Donald Wittman dynamics error term finite-sample critical values floating exchange rates FR/JP FR/UK FR/US Froot and Rogoff GE/US Gonzalez-Farias Inderjit Kohli Nirvikar Job Displacement JP/US Kenneth Kenneth Rogoff Kohli Nirvikar Singh Lag Order Lag-adjusted finite-sample critical Log real rate long-run PPP Lori G mean absolute error Mean ê Michael Dooley Michael Hutchison modified Dickey-Fuller test Monetary Nirvikar Singh November null hypothesis October P₁ Pantula parity reversion Park and Fuller PPP reversion purchasing power parity real exchange rates Rent-Seeking response surface equations reversion in real reversion toward PPP root tests September 1995 stationary Stock Market sufficiently powerful tests support for long-run t-statistic trend UK/GE UK/US various unit-root tests WSLS regression y₁ Yin-Wong and Kon Yin-Wong Cheung Jia Yin-Wong Cheung Kon Yin-Wong Cheung Menzie z₁