Advanced Search
MyIDEAS: Login to save this article or follow this journal

On the Importance of Span of the Data in Univariate Estimation of the Persistence in Real Exchange Rates

Contents:

Author Info

  • Hyeongwoo Kim

    ()
    (Auburn University)

  • Young-Kyu Moh

    ()
    (Texas Tech University)

Abstract

This paper revisits the empirical evidence on real exchange rates' convergence to their purchasing power parity (PPP) levels. In their recent empirical study, Murray and Papell (2002) claim that the univariate approach provides no useful information on the size of the half-lives of real exchange rate deviations from PPP. However, we obtain finite confidence intervals for the half-life for a maximum of 8 out of 16 countries by applying the nonparametric grid bootstrap technique of Hansen (1999) to over a century of real exchange rates data for 16 developed countries relative to the US dollar. Our finding sharply contrasts to that of Murray and Papell (2002) with the post Bretton Woods real exchange rates. Our finding suggests that span of the data, not the estimation methods, matters more for obtaining useful information on long-run propositions such as PPP.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I1-P13.pdf
Download Restriction: no

Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 29 (2009)
Issue (Month): 1 ()
Pages: 129-140

as in new window
Handle: RePEc:ebl:ecbull:eb-08f30078

Contact details of provider:

Related research

Keywords: Median Unbiased Estimator;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 488-509, June.
  2. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, Econometric Society, vol. 69(6), pages 1519-1554, November.
  3. Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers, Wisconsin Madison - Social Systems 26, Wisconsin Madison - Social Systems.
  4. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 139-65, January.
  5. Christian Murray & David Papell, 2005. "The purchasing power parity puzzle is worse than you think," Empirical Economics, Springer, vol. 30(3), pages 783-790, October.
  6. Rossi, Barbara, 2005. "Confidence Intervals for Half-Life Deviations From Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 432-442, October.
  7. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(2), pages 187-204, April.
  8. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  9. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, vol. 56(1), pages 1-19, January.
  10. Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
  11. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(4), pages 461-70, October.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-08f30078. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.