Efficient unit root tests of real exchange rates in the post-Bretton Woods era

Francis Ahking ()

Economics Bulletin, 2003, vol. 6, issue 7, 1-12

Abstract: We apply the efficient unit root tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1999) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one real exchange rates, the null hypothesis of a unit root can be rejected at the 10% significance level or better using the the Elliott et al. (1996) test. Using the Elliott (1999) test, we have only nine rejections out of the twenty-one real exchange rates at the 10% significance level or better. We also find no strong evidence to suggest that the use of non-U.S. dollar based real exchange rates tend to produce more favorable result for long-run PPP than the use of U.S. dollar based real exchange rates as Lothian (1998) has concluded.

Keywords: Efficient; unit; root; tests; Purchasing; power; parity (search for similar items in EconPapers)
JEL-codes: C5 F3 (search for similar items in EconPapers)
Date: 2003-07-27
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2003/Volume6/EB-03F30004A.pdf (application/pdf)

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:ebl:ecbull:eb-03f30004

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().