Smooth Transitions and Mean Reversion in Real Effective Exchange Rates Patterns in Neighboring Areas

Charalampos Pattichis
Additional contact information
Charalampos Pattichis: Department of Economics and Politics, The Nottingham Trent University, UK

Ekonomia, 2001, vol. 5, issue 2, 178-189

Abstract: A recently developed unit root test is used to investigate the time series properties of the real effective exchange rate of ten OECD countries under conditions of structural change with the timing of the break determined endogenously. This technique tests the unit root null against stationarity around a smooth transition in linear trend. The results suggest that in most cases the real effective exchange rates are not mean reverting. This provides little support for the theory of purchasing power parity since the nominal exchange rate and relative prices will permanently tend to deviate from one another.

JEL-codes: F31 F41 (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ekn:ekonom:v:5:y:2001:i:2:p:178-189

Access Statistics for this article

More articles in Ekonomia from Cyprus Economic Society and University of Cyprus Contact information at EDIRC.
Bibliographic data for series maintained by Managing Editor ( this e-mail address is bad, please contact ).