The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests*
使用非线性单位根检验（ESTAR模型）重新检验日元实际汇率的平稳性，发现二战后日元对G7和亚洲货币的实际汇率具有均值回复性，挑战了此前文献中日元汇率不满足购买力平价的结论。
Abstract The empirical literature that tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The behaviour of the yen real exchange rate has most stubbornly challenged the PPP hypothesis and deepened this puzzle. This paper contributes to this discussion by providing new evidence on the stationarity of bilateral yen real exchange rates. We employ a non‐linear version of the augmented Dickey–Fuller test, based on an exponentially smooth‐transition autoregressive model (ESTAR) that enhances the power of the tests against mean‐reverting non‐linear alternative hypotheses. Our results suggest that the bilateral yen real exchange rates against the other G7 and Asian currencies were mean reverting during the post‐Bretton Woods era. Thus, the real yen behaviour may not be so different after all but simply perceived to be so because of the use of a restrictive alternative hypothesis in previous tests.