In a cointegration analysis of PPP in five-variable system for Germany, Japan, and the U.S., Sideris [Sideris, D., 2006. Testing for long-run PPP in a system context: evidence for the U.S., Germany and Japan. Journal of International Financial Markets, Institutions and Money 16, 143-154] reports...

We analyze the possibility of nonlinear trend stationarity as the alternative to unit roots in 23 OECD real exchange rates, 1974–1998, by adding nonlinear time terms to the CIPS panel unit root test of Pesaran (2007). We follow a thorough bootstrapping approach and propose a technique to...

Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000), the Bierens test has very low power. In...

In this paper the validity of the monetary exchange rate model in the long run for the Canadian-U.S. dollar exchange rate is examined. The primary test employed is the Johansen (1991) and Johansen and Juselius (1990) cointegration technique. The effects of dummy variables and lag specification...

Previous empirical study on the effects of monetary policy shocks in small open economies has produced exchange rate responses that are inconsistent with existing open economy macroeconomic theory. We argue that a careful identification of monetary policy in an explicit open economy setting is...