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The Spanish peseta versus the pound sterling, the French franc and the US dollar (1870--1935). A long floating experience

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Author Info
Marcela Sabaté Sort
María Dolores Gadea
José María Serrano

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Abstract

This paper underlines the relevance of considering breaks in Purchasing Power Parity (PPP) tests, by studying the floating peseta over the period 1870--1935. In some cases, only the stationarity of the real exchange rate in the presence of structural breaks could be accepted. Moreover, breaks clearly improve the significance of the proportionality condition for the peseta/pound, peseta/franc and peseta/dollar exchange rates. So, since breaks are endogenously detected and seem to make economic sense, the PPP hypothesis is considered as a valid equilibrium rule for the peseta exchange rate against the currencies of Spain's main traders between 1870 and 1935.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 2 (March)
Pages: 95-99
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:2:p:95-99

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May. [Downloadable!] (restricted)
  3. Montanes, Antonio & Clemente, Jesus, 1999. "Real Exchange Rates and Structural Breaks: Evidence for the Spanish Peseta," Applied Economics Letters, Taylor and Francis Journals, vol. 6(6), pages 349-52, June. [Downloadable!] (restricted)
  4. 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, vol. 104(3), pages 488-509, June. [Downloadable!] (restricted)
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