Tze-Haw, Chan; Lee-Lee, Chong; Chee-Wooi, Hooy - In: Asian Academy of Management Journal of Accounting and … 7 (2011) 1, pp. 95-109
This paper explores the mean reversion behaviour of three Japanese real exchange rates during January 1980–January 2010. The CPI- and PPI-based real yen/USD rates and real effective yen rates are examined using newly improved unit root tests allowing for endogenous break(s) in the linear and...