Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62926
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dc.contributor.authorChortareas, Georgiosen_US
dc.contributor.authorKapetanios, Georgeen_US
dc.date.accessioned2012-09-20T13:02:10Z-
dc.date.available2012-09-20T13:02:10Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/62926-
dc.description.abstractThe empirical literature that tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The yen real exchange rate behavior, as compared to other major currencies, has most stubornly challenged the PPP hypothesis and deepened this puzzle. This paper contributes to this discussion by providing new evidence on the stationarity of bilateral yen real exchange rates. We employ a non-linear version of the Augmented Dickey-Fuller test, based on an exponentially smooth-transition autogregressive model (ESTAR) that enhances the power of the tests against mean-reverting nonlinear alternative hypotheses. Our results suggest that the bilateral yen real exchange rates against the other G7 and Asian currencies were mean reverting during the post-Bretton Woods era. Thus, the real yen behavior may not be so different after all but simply perceived to be so due to the use of a restrictive alternative hypothesis in previous tests.en_US
dc.language.isoengen_US
dc.publisher|aQueen Mary, Univ. of London, Dep. of Economics |cLondonen_US
dc.relation.ispartofseries|aWorking Paper, Department of Economics, Queen Mary, University of London |x484en_US
dc.subject.jelC23en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordPPP, Yen, Real exchange rates, Nonlinear models, ESTAR modelsen_US
dc.subject.stwYenen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwUnit Root Testen_US
dc.subject.stwSchätzungen_US
dc.titleThe Yen real exchange rate may be stationary after all: Evidence from nonlinear unit-root testsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn377049395en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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