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Mean reversion of real exchange rates in high-inflation countries.

A study was conducted to examine for mean reversion in real exchange rates in countries with high inflation. Monthly data were drawn from Argentina, Brazil, Chile, Colombia, and Israel. Kalman filter estimates of the stochastic unit roots reveal sharp deviations from unity linked with high inflati...

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Published in:Southern Economic Journal Vol. 65; no. 4; pp. 839 - 855
Main Authors: Bleaney, Michael F., Leybourne, Stephen J., Mizen, Paul
Format: Article
Published: Southern Economic Association April 1999
Subjects:
Price inflation
Roots, Numerical
Stochastic processes
Foreign exchange
Online Access:View this record in EBSCOhost