Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate

In this article we examine the long-run and the seasonal long memory effects in the monthly Japanese real exchange rate by means of fractionally integrated techniques. We use a procedure due to Robinson [Efficient Tests of Nonstationary Hypotheses. J. Amer. Statist. Assoc. 89 (1994) 1420-1473] that permits us to simultaneously test unit and fractional roots at both the zero and the seasonal frequencies. The results show that the root at zero plays a much more important role than the seasonal one, though the latter root also plays a significant part, with an order of integration constrained between 0 and 0.8. The fact that the latter order of integration is strictly smaller than 1 implies that mean reversion takes place in relation with the seasonal monthly structure. J. Japanese Int. Economies 20 (1) (2006) 87-98.