Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates

Journal of money credit and banking ◽

10.1353/mcb.2002.0007 ◽

2002 ◽

Vol 34 (3a) ◽

pp. 686-700 ◽

Author(s):

R Sollis ◽

Stephen J. Leybourne ◽

Paul Newbold

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Nonlinear Mean Reversion

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Nonlinear mean-reversion in Southeast Asian real exchange rates

Applied Financial Economics ◽

10.1080/09603107.2011.572851 ◽

2011 ◽

Vol 21 (19) ◽

pp. 1409-1421 ◽

Author(s):

Doo-Yull Choi ◽

Bong-Han Kim ◽

See-Won Kim

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Southeast Asian ◽

Nonlinear Mean Reversion

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Nonlinear mean reversion in real exchange rates

Economics Letters ◽

10.1016/s0165-1765(02)00157-x ◽

2002 ◽

Vol 77 (3) ◽

pp. 411-417 ◽

Author(s):

Georgios E. Chortareas ◽

George Kapetanios ◽

Yongcheol Shin

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Nonlinear Mean Reversion

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Nonlinear mean reversion in real exchange rates: threshold autoregressive models and stochastic unit root processes

Applied Economics Letters ◽

10.1080/13504850802403610 ◽

2010 ◽

Vol 17 (8) ◽

pp. 797-804 ◽

Author(s):

Gawon Yoon

Keyword(s):

Exchange Rates ◽

Unit Root ◽

Real Exchange Rates ◽

Mean Reversion ◽

Autoregressive Models ◽

Threshold Autoregressive ◽

Nonlinear Mean Reversion

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Nonlinear Mean-Reversion in Southeast Asian Real Exchange Rates

SSRN Electronic Journal ◽

10.2139/ssrn.1588369 ◽

2010 ◽

Author(s):

Bong-Han Kim ◽

Doo-Yull Choi ◽

See-Won Kim

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Southeast Asian ◽

Nonlinear Mean Reversion

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Price Indices and Nonlinear Mean‐Reversion of Real Exchange Rates

Southern Economic Journal ◽

10.1002/j.2325-8012.2006.tb00781.x ◽

2006 ◽

Vol 73 (2) ◽

pp. 461-471

Author(s):

Jyh‐Lin Wu ◽

Pei‐Fen Chen

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Price Indices ◽

Nonlinear Mean Reversion

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Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates

Journal of International Money and Finance ◽

10.1016/s0261-5606(00)00037-1 ◽

2001 ◽

Vol 20 (1) ◽

pp. 115-132 ◽

Author(s):

Yin-Wong Cheung ◽

Kon S Lai

Keyword(s):

Exchange Rates ◽

Long Memory ◽

Real Exchange Rates ◽

Mean Reversion ◽

Nonlinear Mean Reversion ◽

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Price Indices and Nonlinear Mean-Reversion of Real Exchange Rates

Southern Economic Journal ◽

10.2307/20111901 ◽

2006 ◽

Vol 73 (2) ◽

pp. 461 ◽

Author(s):

Jyh-Lin Wu ◽

Pei-Fen Chen

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Mean Reversion ◽

Price Indices ◽

Nonlinear Mean Reversion

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Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles

International Economic Review ◽

10.1111/1468-2354.00144 ◽

2001 ◽

Vol 42 (4) ◽

pp. 1015-1042 ◽

Author(s):

Mark P. Taylor ◽

David A. Peel ◽

Lucio Sarno

Keyword(s):

Exchange Rates ◽

Purchasing Power Parity ◽

Real Exchange Rates ◽

Mean Reversion ◽

Purchasing Power ◽

Power Parity ◽

Nonlinear Mean Reversion

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Asymmetric mean reversion and volatility in African real exchange rates

Journal of Economics and Finance ◽

10.1007/s12197-017-9412-z ◽

2017 ◽

Vol 42 (3) ◽

pp. 575-590 ◽

Author(s):

Saint Kuttu

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

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Real exchange rates under the recent float: unequivocal evidence of mean reversion

Economics Letters ◽

10.1016/s0165-1765(98)00106-2 ◽

1998 ◽

Vol 60 (2) ◽

pp. 131-137 ◽

Author(s):

Lucio Sarno ◽

Mark P Taylor

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

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