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Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks

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  • Jörg Breitung

    ()

  • Bertrand Candelon

Abstract

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File URL: http://hdl.handle.net/10.1007/s10290-005-0018-8
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Bibliographic Info

Article provided by Springer in its journal Review of World Economics.

Volume (Year): 141 (2005)
Issue (Month): 1 (April)
Pages: 124-140

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Handle: RePEc:spr:weltar:v:141:y:2005:i:1:p:124-140

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Related research

Keywords: Panel data; unit root tests; structural breaks; PPP; currency crisis;

References

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  1. Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers.
  2. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
  3. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  4. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "A panel project on purchasing power parity: Mean reversion within and between countries," Journal of International Economics, Elsevier, vol. 40(1-2), pages 209-224, February.
  5. Meier, Carsten-Patrick, 1997. "Assessing convergence to purchasing power parity : a panel study for ten OECD countries," Open Access Publications from Kiel Institute for the World Economy 1719, Kiel Institute for the World Economy (IfW).
  6. O'Connell, Paul G. J., 1998. "The overvaluation of purchasing power parity," Journal of International Economics, Elsevier, vol. 44(1), pages 1-19, February.
  7. Renato Flôres & Philippe Jorion & Pierre-Yves Preumont & Ariane Szafarz, 1999. "Multivariate Unit root Tests of the PPP Hypothesis," ULB Institutional Repository 2013/711, ULB -- Universite Libre de Bruxelles.
  8. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
  9. Fisher, Eric O'N & Park, Joon Y, 1991. "Testing Purchasing Power Parity under the Null Hypothesis of Co-integration," Economic Journal, Royal Economic Society, vol. 101(409), pages 1476-84, November.
  10. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  11. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
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