Stationarity of the European real exchange rates-evidence from panel data
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 31 (1999)
Issue (Month): 6 ()
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- 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.
- Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
- 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.
- 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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