Economics at your fingertips  

Testing the Random Walk Hypothesis for Real Exchange Rates

In Choi ()

Journal of Applied Econometrics, 1999, vol. 14, issue 3, 293-308

Abstract: This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by using Andrews' (1991) optimal data-dependent methods. Finite sample properties of these tests are also reported. Because the results of applying these tests to the real exchange rates are occasionally inconsistent, tests to synthesize these test results are proposed and applied to the real exchange rates. These tests have often been used in meta-analysis, but have not previously been used to synthesize different test results. Simulation results for these tests are also reported. For the real exchange rate data from the post-Bretton Woods period, these tests reject the null only for the Swiss franc. But when longer-horizon data are used, there is more evidence of serial correlations in the log-differenced real exchange rates.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (81) Track citations by RSS feed

Downloads: (external link) Supporting data files and programs (text/html)

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:

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

Page updated 2021-10-10
Handle: RePEc:jae:japmet:v:14:y:1999:i:3:p:293-308