Does the Australian Dollar Real Exchange Rate Really Display Mean Reversion?

Ólan Henry

No 616, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: Non-stationarity of the real exchange rate is inconsistent with purchasing power parity as a long run equilibrium. This paper applies parametric and non-parametric techniques to data from a trade weighted index to analyse the time series properties of Australia's real exchange rate. In contrast to recent work by Olekalns amd Wilkins (1998) we conclude that shocks to the real exchange rate are infinitely persistent.

Keywords: EXCHANGE RATE; PURCHASING POWER (search for similar items in EconPapers)
JEL-codes: C14 C22 F31 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:616

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