Mean reversion in real exchange rates

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)251-256
Journal / PublicationEconomics Letters
Volume46
Issue number3
StatePublished - Nov 1994
Externally publishedYes

Abstract

A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test. © 1994.

Citation Format(s)

Mean reversion in real exchange rates. / Cheung, Yin-Wong; Lai, Kon S.

In: Economics Letters, Vol. 46, No. 3, 11.1994, p. 251-256.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review