Kanas, Angelos, Genius, Margarita (2005) Regime (non)stationarity in the US/UK real exchange rate. Economics Letters, 87 (3). pp. 407-413. ISSN 0165-1765. (doi:10.1016/j.econlet.2005.01.009) (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:41148)
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: http:dx.doi.org/10.1016/j.econlet.2005.01.009 |
Abstract
Using a Markov-switching extension of the ADF regression, we find evidence that the US/UK real exchange rate is stationary in periods when it is in a low volatility regime, and nonstationary when it is in a high volatility regime. © 2005 Elsevier B.V. All rights reserved.
Item Type: | Article |
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DOI/Identification number: | 10.1016/j.econlet.2005.01.009 |
Uncontrolled keywords: | Real exchange rate, Regime switching, Unit roots |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Divisions > Kent Business School - Division > Kent Business School (do not use) |
Depositing User: | Tracey Pemble |
Date Deposited: | 22 May 2014 13:58 UTC |
Last Modified: | 05 Nov 2024 10:25 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/41148 (The current URI for this page, for reference purposes) |
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