 A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root testJyh-Lin Wu and Hsiu-Yun Lee Journal of Macroeconomics, 2009, vol. 31, issue 4, 591-601 Abstract: The purpose of this paper is to construct a series-specific non-linear panel unit-root test and then apply it to examine the non-linear mean reversion of real exchange rates for two different panels of industrial countries. We find that the non-linear series-specific panel unit root test achieves higher power and more reasonable size than the linear one suggested by Breuer et al. [Breuer, J.B., McNown, R., Wallace, M., 2002. Series-specific unit root tests with panel data. Oxford Bulletin of Economics and Statistics 64, 527-546] when the data generating process is calibrated to reflect significant non-linear behaviors. Applying the test to examine the stationarity of real exchange rates with two different panels of countries, we find that about half of the real exchange rates are non-linear stationary in each panel. Moreover, we find that our bootstrap tests achieve a reasonable size based upon a bootstrap-after-bootstrap method. Our findings point out significant non-linearity in the dynamics of real exchange rates. Keywords: Panel; unit-root; tests; Real; exchange; rates; Non-linearity; Bootstrap-after-bootstrap (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:4:p:591-601 Access Statistics for this article Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos More articles in Journal of Macroeconomics from Elsevier |
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