Title of article
Regime (non)stationarity in the US/UK real exchange rate
Author/Authors
Angelos Kanas، نويسنده , , Margarita Genius، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
7
From page
407
To page
413
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.
Keywords
real exchange rate , Unit roots , Regime switching , US , UK
Journal title
Economics Letters
Serial Year
2005
Journal title
Economics Letters
Record number
435688
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