Does the Australian Dollar Real Exchange Rate Really Display Mean Reversion?

Non-stationarity of the real exchange rate is inconsistent with purchasing power parity as a long run equilibrium. This paper applies parametric and non-parametric techniques to data from a trade weighted index to analyse the time series properties of Australia's real exchange rate. In contrast to recent work by Olekalns amd Wilkins (1998) we conclude that shocks to the real exchange rate are infinitely persistent.

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Year of publication:	1998
Authors:	Henry, O.
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	EXCHANGE RATE \| PURCHASING POWER

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Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 616 25 pages
Classification:	F31 - Foreign Exchange ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005587777