Mean reversion in the real exchange rates
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Diebold, Francis X. & Rudebusch, Glenn D., 1989.
"Long memory and persistence in aggregate output,"
Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
- Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
- Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
- Michelacci, Claudio & Zaffaroni, Paolo, 2000.
"(Fractional) beta convergence,"
Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
- Claudio Michelacci & Paolo Zaffaroni, 1998. "(Fractional) Beta Convergence," Working Papers wp1998_9803, CEMFI.
- Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
- Michelacci, C. & Zaffaroni, P., 1998. "(Fractional) Beta Convergence," Papers 9803, Centro de Estudios Monetarios Y Financieros-.
- Claudio Michelacci & Paolo Zaffaroni, 2000. "(Fractional) Beta Convergence," Temi di discussione (Economic working papers) 383, Bank of Italy, Economic Research and International Relations Area.
- Gil-Alana, L.A., 2006.
"Fractional integration in daily stock market indexes,"
Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
- L.A. Gil‐Alana, 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, John Wiley & Sons, vol. 15(1), pages 28-48.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012.
"The Deaton paradox in a long memory context with structural breaks,"
Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
- Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
- Luis Alberiko Gil-Alana & Antonio Moreno & Seonghoon Cho, 2011. "The Deaton paradox in a long memory context with structural breaks," Post-Print hal-00711450, HAL.
- Luis A. Gil-Alana, 2004.
"Structural Change and the Order of Integration in Univariate Time Series,"
Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
- Luis Alberiko Gil-Alana, 2005. "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra.
- Baillie, Richard T & Bollerslev, Tim, 1994.
"Cointegration, Fractional Cointegration, and Exchange Rate Dynamics,"
Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
- Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013.
"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
- Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
- Patrick K. Asea & Michael J. Dueker, 1995. "Non-monotonic long memory dynamics in black-market premia," Working Papers 1995-003, Federal Reserve Bank of St. Louis.
- Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013.
"Nelson–Plosser revisited: The ACF approach,"
Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
- Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
- Karim M. Abadir & Gabriel Talmain & Giovanni Caggiano, 2008. "Nelson-Plosser revisited: the ACF approach," Working Paper series 18_08, Rimini Centre for Economic Analysis.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004.
"Fractional cointegration and real exchange rates,"
Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, vol. 13(4), pages 327-340.
- Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and real exchange rates," SFB 373 Discussion Papers 2000,69, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christophe Andr頍 & Luis A. Gil-Alana & Rangan Gupta, 2014.
"Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries,"
Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2127-2138, June.
- Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
- Guglielmo Maria Caporale & Luis Gil-Alana, 2011.
"The weekly structure of US stock prices,"
Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin 1077, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," CESifo Working Paper Series 3245, CESifo.
- Claudio Michelacci, 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Working Papers wp1999_9906, CEMFI.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
- Abul Masih & Rumi Masih, 1998. "A fractional cointegration analysis of the long-run relationship between black and official foreign exchange rates: the case of the Brazilian cruzeiro," Applied Economics, Taylor & Francis Journals, vol. 30(7), pages 853-861.
- Luis A. Gil‐Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
- Gil-Alaña, Luis A., 2000. "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers 2000,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
- Carlos Barros & Luis Gil-Alana, 2013.
"Inflation Forecasting in Angola: A Fractional Approach,"
African Development Review, African Development Bank, vol. 25(1), pages 91-104.
- Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
- Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
- Cuestas, Juan C. & Gil-Alana, Luís A., 2009.
"Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes,"
Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
- Luis A. Gil-Alana & Juan C. Cuesta, 2009. "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers 07/09, School of Economics and Business Administration, University of Navarra.
- Juan Carlos Cuestas & Luís A. Gil-Alana, 2009. "Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes," NBS Discussion Papers in Economics 2009/3, Economics, Nottingham Business School, Nottingham Trent University.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:69:y:2000:i:3:p:285-288. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.