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Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates

Journal of International Money and Finance, no. 1 (2001): 115-132

Cited by: 61|Views2
EI

Abstract

The extraordinary difficulty in uncovering parity reversion in yen-based real exchange rates has often been ascribed to a missing trend variable. This study identifies an alternative explanation and shows that the puzzling behavior of real yen rates may stem from long-memory dynamics, which undermine unit-root tests in their ability to de...More

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