The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania
The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania
This paper empirically investigates the time series properties of real exchange rate between Great Britain and colonial Pennsylvania during 1727–1775. Results provide ample evidence of mean-reversion in the real exchange rate.
exchange rate, fractionally-integrated, ARFIMA, mean-reversion, variance ratio
25-30
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Luintel, Kul B.
a05d2062-92e9-4249-9b1b-fbdaa86a9d28
2001
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Luintel, Kul B.
a05d2062-92e9-4249-9b1b-fbdaa86a9d28
Choudhry, Taufiq and Luintel, Kul B.
(2001)
The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania.
Economics Letters, 74 (1), .
(doi:10.1016/S0165-1765(01)00532-8).
Abstract
This paper empirically investigates the time series properties of real exchange rate between Great Britain and colonial Pennsylvania during 1727–1775. Results provide ample evidence of mean-reversion in the real exchange rate.
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Published date: 2001
Keywords:
exchange rate, fractionally-integrated, ARFIMA, mean-reversion, variance ratio
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Local EPrints ID: 35693
URI: http://eprints.soton.ac.uk/id/eprint/35693
ISSN: 0165-1765
PURE UUID: 490fcb1b-0c3e-48c9-8ead-02dc77c87517
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Date deposited: 22 May 2006
Last modified: 16 Mar 2024 03:16
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Author:
Kul B. Luintel
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