1991
A Bayesian analysis of the unit root in real exchange rates
Publication
Publication
We propose a posterior odds analysis of the hypothesis of a unit root in real exchange rates. From a Bayesian viewpoint the random walk hypothesis for real exchange rates is a posteriori as probable as a stationary AR(1) process for four out of eight time series investigated. The French franc/German mark is clearly stationary, while the Japanese yen/US dollar is most likely a random walk. In contrast, classical tests are unable to reject the unit root for any of these series.
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| doi.org/10.1016/0304-4076(91)90014-5, hdl.handle.net/1765/11240 | |
| Journal of Econometrics | |
| Organisation | Erasmus School of Economics |
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Schotman, P.C, & van Dijk, H.K. (1991). A Bayesian analysis of the unit root in real exchange rates. Journal of Econometrics. doi:10.1016/0304-4076(91)90014-5
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