New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates

Detalhes bibliográficos
Autor(a) principal: Wu, Ping
Data de Publicação: 1995
Outros Autores: Crato, Nuno
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27696
Resumo: The present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The estimates sustain the claim that New Zealand real exchange series are not stationary. However, it is shown that nonstationarity is compatible with parity reversion in the framework of fractional unit-root models.
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spelling New tests for stationarity and parity reversion : evidence on New Zealand real exchange ratesFractionally Integrated ModelsPurchasing Power ParityStafionarity TestsUnit RootsThe present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The estimates sustain the claim that New Zealand real exchange series are not stationary. However, it is shown that nonstationarity is compatible with parity reversion in the framework of fractional unit-root models.Physica-VerlagRepositório da Universidade de LisboaWu, PingCrato, Nuno2023-05-03T14:16:45Z19951995-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27696engWu, Ping, and Nuno Crato .(1995). "New tests for stationarity and parity reversion: evidence on New Zealand real exchange rates" Empirical Economics, Vol. 20: pp. 599-613. (Search PDF in 2023).info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-07T01:30:58Zoai:www.repository.utl.pt:10400.5/27696Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:57.642679Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
title New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
spellingShingle New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
Wu, Ping
Fractionally Integrated Models
Purchasing Power Parity
Stafionarity Tests
Unit Roots
title_short New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
title_full New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
title_fullStr New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
title_full_unstemmed New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
title_sort New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
author Wu, Ping
author_facet Wu, Ping
Crato, Nuno
author_role author
author2 Crato, Nuno
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Wu, Ping
Crato, Nuno
dc.subject.por.fl_str_mv Fractionally Integrated Models
Purchasing Power Parity
Stafionarity Tests
Unit Roots
topic Fractionally Integrated Models
Purchasing Power Parity
Stafionarity Tests
Unit Roots
description The present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The estimates sustain the claim that New Zealand real exchange series are not stationary. However, it is shown that nonstationarity is compatible with parity reversion in the framework of fractional unit-root models.
publishDate 1995
dc.date.none.fl_str_mv 1995
1995-01-01T00:00:00Z
2023-05-03T14:16:45Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27696
url http://hdl.handle.net/10400.5/27696
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Wu, Ping, and Nuno Crato .(1995). "New tests for stationarity and parity reversion: evidence on New Zealand real exchange rates" Empirical Economics, Vol. 20: pp. 599-613. (Search PDF in 2023).
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Physica-Verlag
publisher.none.fl_str_mv Physica-Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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