Mean Reversion in Real Exchange Rates in Seventy LDCs: An Empirical Investigation
نویسندگان
چکیده
منابع مشابه
Real exchange rates and relative prices An empirical investigation
This paper uncovers a striking empirical regularity: the consumer price of a good relative to a different good within a country tends to be much less variable than the price of that good relative to a similar good in another country. This fact seems to hold for all goods except very simple, homogeneous products. Models of real exchange rates are likely to have predictions regarding this relatio...
متن کاملMean Reversion in G - 10 Nominal Exchange Rates *
Received wisdom: industrial-country floating exchange rates contain unit roots. In three types of tests, however, the data support nominal-rate mean reversion. First, SUR tests on panels of Group-of-Ten nominal rates frequently reject the null of unit roots in favor of mean reversion for various samples over the current float, the first such results in the literature. Second, in out-of-sample f...
متن کاملan investigation on the presence of mean reversion in stock prices in tehran stock exchange
financial scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reverting processes.by a random walk we mean that accruing shocks to the system have permanent impacts and prices do not revert to their previous trend path, in addition, regarding to random walk processes the price series volatility could increase with out any li...
متن کاملAre Southeast Asian Real Exchange Rates Mean
Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationar...
متن کاملan appropriate model for exchange rate predictability in iran: comparing potential forecastability
nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2011
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v3n5p24