Is the stationarity of the yen real exchange rates a puzzle? This paper attempts to shed light on the puzzling finding that the results of applying the conventional or nonlinear unit root tests to the yen real exchange rates (RERs) in some recent studies appear to be rather sensitive to whether or not including the data of recent decade in the studies. It is found that this sensitivity of the test results may come from the failure to take into account the large rise and fall in the yen RERs. Using the newly developed unit root tests which account for the presence of multiple smooth temporary breaks in the RERs, the results clearly show that the yen RERs in the post-Bretton Woods period can be characterized as being linear or nonlinear stationary around infrequent smooth temporary mean changes, supporting the validity of PPP
Su Zhou
Additional contact information
Su Zhou: University of Texas at San Antonio
No 5, Working Papers from College of Business, University of Texas at San Antonio
Keywords: Yen real exchange rates; Nonlinear stationarity; Large swings; PPP; Unit root tests (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2012-02-21
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://interim.business.utsa.edu/wps/eco/0005ECO-106-2012.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:tsa:wpaper:0017eco
Access Statistics for this paper
More papers in Working Papers from College of Business, University of Texas at San Antonio Contact information at EDIRC.
Bibliographic data for series maintained by Wendy Frost ().