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

Yin‐Wong Cheung2001

Article2001

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

Yin‐Wong Cheung · Kon S. Lai

72 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1976Expectations and Exchange Rate Dynamics 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1996The Purchasing Power Parity Puzzle 1981Fractional Differencing 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1998The overvaluation of purchasing power parity 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates

Cited by

2005Testing long-run purchasing power parity under exchange rate targeting 2004The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests*2003The Nature of Persistence in Turkish Real Exchange Rates 2005Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan 2016Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis

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Year2001

Typearticle

Published2001-02-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations72

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0261-5606(00)00037-1

openalex_workW1968228269

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