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Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates

Sollis, R.; Leybourne, S.J.; Newbold, P.

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Authors

R. Sollis

S.J. Leybourne

P. Newbold



Abstract

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.

Citation

Sollis, R., Leybourne, S., & Newbold, P. (2002). Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates. Journal of Money, Credit and Banking, 34(3, Part 1), 686-700

Journal Article Type Article
Publication Date 2002-08
Deposit Date Aug 21, 2008
Publicly Available Date Aug 21, 2008
Journal Journal of Money, Credit and Banking
Print ISSN 0022-2879
Electronic ISSN 1538-4616
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 34
Issue 3, Part 1
Pages 686-700
Keywords Foreign exchange rates, Mathematical models.
Public URL https://durham-repository.worktribe.com/output/1630960
Publisher URL http://webmail.econ.ohio-state.edu/john/Volume34No3Pt1.php

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Published Journal Article (1.1 Mb)
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