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
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
Journal title :
Economics Letters
