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Abstract

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean reverting, the intranational rates are not. This is consistent with the view that while nominal shocks may be mean reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates. Copyright 1999, International Monetary Fund

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal IMF Staff Papers.

Volume (Year): 46 (1999)
Issue (Month): 1 ()
Pages: 5

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Handle: RePEc:pal:imfstp:v:46:y:1999:i:1:p:5

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Find related papers by JEL classification:

• C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
• C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
• F31 - International Economics - - International Finance - - - Foreign Exchange

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Cited by:

1. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.
2. Dimitrios Sideris, 2004. "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers 19, Bank of Greece.
3. Enrique Alberola, 2003. "Misalignment, liabilities dollarization and exchange rate adjustment in Latin America," Banco de España Working Papers 0309, Banco de España.
   
   • Enrique Alberola, 2005. "Misalignment, Liabilities Dollarization And Exchange Rate Adjustment In Latin America," International Finance 0507005, EconWPA.
4. Ronald MacDonald, 2000. "The role of the exchange rate in economic growth: a euro-zone perspective," Working Paper Research 09, National Bank of Belgium.
5. Christoph Fischer, 2006. "PPP: a disaggregated view," Applied Financial Economics, Taylor and Francis Journals, vol. 16(1-2), pages 93-108.
   
   • Fischer, Christoph, 2004. "PPP: a Disaggregated View," Discussion Paper Series 1: Economic Studies 2004,07, Deutsche Bundesbank, Research Centre.
6. António Portugal Duarte, 2005. "Purchasing power parity: an empirical study of three EMU countries," International Finance 0505010, EconWPA.
   
   • António Portugal Duarte, 2005. "Purchasing power parity: an empirical study of three EMU countries," International Trade 0505005, EconWPA.
7. Alba, Joseph D. & Park, Donghyun, 2003. "Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under the Current Float," World Development, Elsevier, vol. 31(12), pages 2049-2060, December.
8. Enrique Alberola & Humberto López & Luis Servén, 2004. "Tango with the gringo: the hard peg and real misalign ment in Argentina," Banco de España Working Papers 0405, Banco de España.
   
   • Alberola, Enrique & Lopez, Humberto & Serven, Luis, 2004. "Tango with the Gringo: the hard peg and real misalignment in Argentina," Policy Research Working Paper Series 3322, The World Bank.
9. Enrique Alberola & Daniel Navia, 2007. "Equilibrium exchange rates in the new EU members: external imbalances vs. real convergence," Banco de España Working Papers 0708, Banco de España.
10. Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
    
    • Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
11. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Testing for PPP: Should We Use Panel Methods?," Working Papers 186, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    
    • Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2005. "Testing for PPP: Should we use panel methods?," Empirical Economics, Springer, vol. 30(1), pages 77-91, January.
    • Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002. "Testing for PPP: Should We Use Panel Methods?," Royal Economic Society Annual Conference 2002 13, Royal Economic Society.
12. Susana Garcia Cervero & J. Humberto Lopez & Enrique Alberola Ila & Angel J. Ubide, 1999. "Global Equilibrium Exchange Rates - Euro, Dollar, 'Ins,' 'Outs,' and Other Major Currencies in a Panel Cointegration Framework," IMF Working Papers 99/175, International Monetary Fund.
    
    • Enrique Alberola & Susana G. Cervero & Humberto Lopez & Angel Ubide, 2000. "Global Equilibrium Exchange Rates: Euro, Dollar, "Ins," "Outs," and Other Major Currencies in a Panel Cointegration Framework," Econometric Society World Congress 2000 Contributed Papers 0051, Econometric Society.
13. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
14. Gligor Bishev, 1999. "Monetary Policy and Transition in Southeast Europe," The wiiw Balkan Observatory Working Papers 002, The Vienna Institute for International Economic Studies, wiiw.

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