scholarly journals Do Real Exchange Rates Have Autoregressive Unit Roots? A test under the Alternative of Long Memory and Breaks

2000 ◽  
Author(s):  
Michael J. Dueker ◽  
Apostolos Serletis
Keyword(s):  
Exchange Rates ◽  
Long Memory ◽  
Real Exchange Rates ◽  
Unit Roots

scholarly journals Persistence in real exchange rate convergence

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Thanasis Stengos ◽  
M. Ege Yazgan
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Long Memory ◽  
Structural Breaks ◽  
Real Exchange Rates ◽  
Purchasing Power ◽  
Memory Process ◽  
Power Parity ◽  
Long Memory Process ◽  
Memory Parameter

AbstractIn this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a 50 year period (1957–2009). The analysis focuses on the long memory parameter d that allows us to obtain different convergence classifications depending on its value. Our analysis allows for the presence of smooth structural breaks and it does not rely on the use of a benchmark. Overall the evidence strongly points to the presence of a long memory process, where 0.5<d<1. The implication of our results is that we find long memory mean reverting convergence, something that is also consistent with Pesaran, M. H., R. P. Smith, T. Yamagata, and L. Hvozdyk. 2009. “Pairwise Tests of Purchasing Power Parity.” Econometric Reviews 28: 495–521. In explaining the speed of convergence as captured by the estimated long memory parameter d we find impediments to trade such as distance between neighboring countries and sticky prices to be mainly responsible for the slow adjustment of real exchange rates to PPP rather than nominal rates for all country groups but Asia, where the opposite is true.

scholarly journals Long Memory and Parity Reversion in Real Exchange Rate

2020 ◽  
Author(s):  
Abd. Ghafar Ismail ◽  
Wahi Ismail
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Long Memory ◽  
Real Exchange Rates ◽  
Power Parity ◽  
Equilibrium Relation ◽  
Long Memory Process ◽  
Long Run ◽  
Floating Exchange Rate

This paper examines the post Bretton Woods experience of the Malaysian Ringgit. In this period, Malaysia moved from a managed to a floating exchange rate environment.We examine persistence in real exchange rates by estimating fractionally integrated ARIMA models and find evidence of long memory, which induces persistence though this long memory need not be associated with a unit root. The results show that three out of four exchange rates being examined display mean reversion. The long memory process re-establishes the Purchasing Power Parity as a meaningful concept of long-run equilibrium relation between the exchange rate and relative prices.

scholarly journals Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?

2011 ◽  
Vol 28 (3) ◽  
pp. 1279-1290 ◽  
Author(s):  
Marcel Aloy ◽  
Mohamed Boutahar ◽  
Karine Gente ◽  
Anne Péguin-Feissolle
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Long Memory ◽  
Real Exchange Rates ◽  
Purchasing Power ◽  
Power Parity

scholarly journals Determinants of Exchange Rate Fluctuations of Uzbek Sum

2019 ◽  
Vol 5 (1) ◽  
pp. 52
Author(s):  
Zafar Berdinazarov ◽  
Khasanjon Dodoev ◽  
Jamshid Mamasalaev ◽  
Jakhongirmirzo Fakhodjonov
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Long Memory ◽  
Moving Average ◽  
Real Exchange Rates ◽  
Ordinary Least Squares ◽  
Econometric Models ◽  
Autoregressive Integrated Moving Average ◽  
Exchange Rate Fluctuations

This paper examines the determinants of exchange rate fluctuations of Uzbek sum by using three econometric models OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and ML ARCH (Multivariate Long memory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. Also, it should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.

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