Article ID Journal Published Year Pages File Type
9549178 Economics Letters 2005 7 Pages PDF
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.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Regime (non)stationarity in the US/UK real exchange rate
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