How Sure Are We about Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates
AbstractThis article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based on the Kwiatkowski et al. (1992) test for the stationarity null generalized in a multivariate random walk plus noise model by Nyblom and Harvey (2000).
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 33 (2001)
Issue (Month): 3 (August)
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