期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：The large appreciation and depreciation of the US dollar in the 1980s stimulated
an important debate on the usefulness of unit root tests in the presence of structural
breaks. In this paper, we propose a simple model to describe the evolution of the
real exchange rate. We then propose a more general smooth transition (STR) function
than has hitherto been employed, which is able to capture structural changes along the
(long-run) equilibrium path, and show that this is consistent with our economic model.
Our framework allows for a gradual adjustment between regimes and allows for under-
and/or over-valued exchange rate adjustments. Using monthly and quarterly data for
up to twenty OECD countries, we apply our methodology to investigate the univariate
time series properties of CPI-based real exchange rates with both the U.S. dollar and
German mark as the numeraire currencies. The empirical results show that, for more
than half of the quarterly series, the evidence in favour of the stationarity of the real
exchange rate was clearer in the sub-sample period post-1980.
关键词：Unit root tests, structural breaks, purchasing power parity
