Caporale, Guglielmo Maria; Cerrato, Mario; Spagnolo, Nicola - In: Applied Financial Economics Letters 1 (2005) 1, pp. 1-4
This paper extends the Murray and Papell (2002) study by using a non-parametric bootstrap approach which allows for non-normality, and focusing on quarterly real exchange rate in twenty OECD countries in the post-1973 floating period. Augmented Dickey-Fuller (ADF) regressions were run, and the...