MEAN REVERSION IN REAL EXCHANGE-RATES

被引：26

作者：

CHEUNG, YW

LAI, KS

机构：

[1] CALIF STATE UNIV LOS ANGELES,SCH BUSINESS & ECON,DEPT ECON,LOS ANGELES,CA 90032

[2] UNIV CALIF SANTA CRUZ,SANTA CRUZ,CA 95064

来源：

ECONOMICS LETTERS | 1994年 / 46卷 / 03期

关键词：

D O I：

10.1016/0165-1765(94)00486-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A modified Dickey-Fuller test, which is approximately uniformly most power invariant, is employed to examine mean reversion in real exchange rates. Results from this test provide a wider and more significant support for mean reversion than the standard Dickey-Fuller test.

引用

收藏

页码：251 / 256

页数：6

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