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Mean reversion in real exchange rates: evidence and implications for forecasting
16 references·16 citing·27 second hopsampled
Mean reversion in real exchange rates: evidence and implications for forecasting (1996)Mean reversion in real exchange rates: ev…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Real Exchange Rates under the Gold Standard (1991)Real Exchange Rates under the…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…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Real-Financial Linkages Among Open Economies (1987)Real-Financial Linkages Among…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…An empirical investigation of the long-run behavior of real exchange rates (1987)An empirical investigation of…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…On Unit Roots and the Empirical Modeling of Exchange Rates (1982)On Unit Roots and the Empiric…Testing For Unit Roots: 1 (1981)Testing For Unit Roots: 1Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Mean–variance portfolio selection of cointegrated assets (2011)Mean–variance portfolio selec…Purchasing power parity and country characteristics: Evidence from panel data tests (2006)Purchasing power parity and c…Real exchange rates and switching regimes (2004)Real exchange rates and switc…PPP and the Euro-area (2004)PPP and the Euro-areaThe great appreciation, the great depreciation, and the purchasing power parity hypothesis (2002)The great appreciation, the g…Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates (2002)Tests for Symmetric and Asymm…The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity (2001)The Choice of Numeraire Curre…Is Purchasing Power Parity Overvalued? (2001)Is Purchasing Power Parity Ov…Parity reversion in real exchange rates during the post-Bretton Woods period (1998)Parity reversion in real exch…Increasing evidence of purchasing power parity over the current float (1998)Increasing evidence of purcha…The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period (1997)The Behaviour of Real Exchang…Real exchange rate behavior (1997)Real exchange rate behaviorNonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Nonlinear Aspects of Goods-Ma…Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries (1996)Relative Labour Productivity …Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries (1996)Relative Labor Productivity a…A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries (1995)A Panel Project on Purchasing…Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Testing for a unit root in variables with a double change in the mean (1998)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Tourism development and economic growth: A closer look at panels (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1990Purchasing Power Parity in the Long Run808 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1987Real-Financial Linkages Among Open Economies468 cited
  • 1991Real Exchange Rates under the Gold Standard415 cited
  • 1981Testing For Unit Roots: 1398 cited
  • 1987An empirical investigation of the long-run behavior of real exchange rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

395 cited
  • 1982On Unit Roots and the Empirical Modeling of Exchange Rates359 cited
  • Cited by

    • 2001The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity174 cited
    • 1997Real exchange rate behavior162 cited
    • 1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period161 cited
    • 2002The great appreciation, the great depreciation, and the purchasing power parity hypothesis146 cited
    • 1996Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries130 cited
    • 1995A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries125 cited
    • 1998Increasing evidence of purchasing power parity over the current float124 cited
    • 1996Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries121 cited
    • 2006Purchasing power parity and country characteristics: Evidence from panel data tests118 cited
    • 2001Is Purchasing Power Parity Overvalued?117 cited
    • 1998Parity reversion in real exchange rates during the post-Bretton Woods period114 cited
    • 2002Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates105 cited
    • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited103 cited
    • 2004PPP and the Euro-area98 cited
    • 2004Real exchange rates and switching regimes93 cited
    • 2011Mean–variance portfolio selection of cointegrated assets92 cited