New tests for stationarity and parity reversion : evidence on New Zealand real exchange rates
Autor(a) principal: | |
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Data de Publicação: | 1995 |
Outros Autores: | |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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 instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
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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1799131588520312832 |