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Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates
16 references·15 citing·35 second hop
Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates (2001)Long memory and nonlinear mean reversion …Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…The overvaluation of purchasing power parity (1998)The overvaluation of purchasi…The behavior of real exchange rates during the post-Bretton Woods period (1998)The behavior of real exchange…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Perspectives on PPP and Long-Run Real Exchange Rates (1994)Perspectives on PPP and Long-…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis (2016)Predictable Behavior in Finan…Smooth structural breaks and the stationarity of the yen real exchange rates (2014)Smooth structural breaks and …Monetary policy implementation and overnight rate persistence (2011)Monetary policy implementatio…Monetary policy implementation and overnight rate persistence (2010)Monetary policy implementatio…Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity (2010)Decline in the persistence of…Local persistence and the PPP hypothesis (2009)Local persistence and the PPP…Linkages between international stock markets: A multivariate long-memory approach (2009)Linkages between internationa…A fractionally integrated exponential STAR model applied to the US real effective exchange rate (2008)A fractionally integrated exp…Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model (2007)Measuring the persistence of …Nonstationarity in real exchange rates using unit root tests with a level shift at unknown time (2006)Nonstationarity in real excha…Testing long-run purchasing power parity under exchange rate targeting (2005)Testing long-run purchasing p…Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan (2005)Testing for long-run PPP in a…The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests* (2004)The Yen Real Exchange Rate ma…The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests (2003)The Yen Real Exchange Rate Ma…The Nature of Persistence in Turkish Real Exchange Rates (2003)The Nature of Persistence in …Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? 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References

  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1981Fractional Differencing2,720 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1998The overvaluation of purchasing power parity1,208 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1998The behavior of real exchange rates during the post-Bretton Woods period824 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1990

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Purchasing Power Parity in the Long Run
808 cited
  • 1994Perspectives on PPP and Long-Run Real Exchange Rates742 cited
  • Cited by

    • 2005Testing long-run purchasing power parity under exchange rate targeting63 cited
    • 2004The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests*61 cited
    • 2003The Nature of Persistence in Turkish Real Exchange Rates50 cited
    • 2005Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan46 cited
    • 2016Predictable Behavior in Financial Markets: Some Evidence in Support of Heiner's Hypothesis43 cited
    • 2009Local persistence and the PPP hypothesis29 cited
    • 2009Linkages between international stock markets: A multivariate long-memory approach27 cited
    • 2011Monetary policy implementation and overnight rate persistence21 cited
    • 2007Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model19 cited
    • 2003The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests18 cited
    • 2010Monetary policy implementation and overnight rate persistence18 cited
    • 2010Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity16 cited
    • 2008A fractionally integrated exponential STAR model applied to the US real effective exchange rate16 cited
    • 2006Nonstationarity in real exchange rates using unit root tests with a level shift at unknown time16 cited
    • 2014Smooth structural breaks and the stationarity of the yen real exchange rates14 cited