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Stationarity of the European real exchange rates-evidence from panel data

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  • Kari Heimonen
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    Abstract

    This paper employs a panel unit root test for the real exchange rates of 13 EU member countries. The estimation period covers the EMS period from 1980:1 to 1992:2 In contrast with the earlier panel unit root studies concerning purchasing power parity (PPP), effective real exchange rates are used. As a result, the non-stationarity of the real exchange rate was rejected. However, the half-life of the real exchange rate adjustment turned out to be long. Potential reasons for this might be the relatively short estimation period and the nature of the data.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/000368499323887
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics.

    Volume (Year): 31 (1999)
    Issue (Month): 6 ()
    Pages: 673-677

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    Handle: RePEc:taf:applec:v:31:y:1999:i:6:p:673-677

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    Cited by:
    1. Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979–1998," Economics Papers from University Paris Dauphine 123456789/12206, Paris Dauphine University.
    2. Francis W. Ahking, 2002. "Is the Bayesian Approach Necessarily Better than the Classical Approach in Unit-Root Test?," Working papers 2002-18, University of Connecticut, Department of Economics.
    3. Salah A. Nusair, 2003. "Testing The Validity Of Purchasing Power Parity For Asian Countries During The Current Float," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 28(2), pages 129-147, December.

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