A revisit to the nonlinear stationarity of real exchange rates

Wu, Jyh-Lin and Lee, Chien-Chiang

Applied Economics Letters, 2008, vol. 15, issue 2, pages 155-159

Abstract: This article applies the test by Kapetanios et al. (2003) to re-examine the nonlinear stationarity of real exchange rates in which we emphasize both the real bilateral exchange rates and the real effective exchange rates. Our empirical findings provide weak evidence on the nonlinear mean-reverting adjustment of real exchange rates in both fixed and floating regimes, which is in sharp contrast to that in the existing literature.

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