Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies

Mario Cerrato and Nick Sarantis ()
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Nick Sarantis: London Metropolitan University

Economics Bulletin, 2006, vol. 6, issue 7, 1-14

Abstract: We provide evidence on nonlinear mean reversion in the real exchange rates of developing and emerging market economies, using recently developed nonlinear unit root tests and a unique set of monthly data on black market exchange rates.

JEL-codes: F3 (search for similar items in EconPapers)
Date: 2006-06-12
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