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Testing for a unit root in ERM exchange rates in the presence of structural breaks: Evidence from the bootstrap

Kanas, Angelos (1998) Testing for a unit root in ERM exchange rates in the presence of structural breaks: Evidence from the bootstrap. Applied Economics Letters, 5 (7). pp. 407-410. ISSN 1350-4851. (doi:10.1080/135048598354519) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41180)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.1080/135048598354519

Abstract

This paper explores the extent to which accounting for structural breaks in ERM exchange rates affects inferences on the presence of a unit root in these exchange rates. Four ERM exchange rates, found by previous empirical studies to be nonstationary, are examined. In contrast to previous empirical studies, multiple structural breaks are allowed for to account for multiple realignments in the central parities of these exchange rates. Bootstrapped critical values, personalized to the pattern of breaks of each exchange rate, are used for statistical inference. Consistent with the theoretical conclusion by Froot and Obstfeld (1991), the results suggest that all four ERM exchange rates are stationary. Therefore, accounting for breaks in ERM exchange rates does affect inferences on the presence of a unit root in these exchange rates.

Item Type: Article
DOI/Identification number: 10.1080/135048598354519
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:42 UTC
Last Modified: 09 Mar 2023 11:33 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41180 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

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