Real Exchange Rates under the Gold Standard
AbstractIn this paper, the authors assert that most studies that have sought to determine the validity of purchasing power parity are flawed for two reasons. First, post-1973 data contain, by definition, only a very limited amount of the low-frequency information relevant for examination of long-run parity. Second, the dynamic econometric techniques used to model deviations from parity are typically quite crude with respect to admissible low-frequency dynamics. Both deficiencies are rectified in the present paper, with dramatic results. With a new longer data set, the authors study deviations from parity using long-memory models that allow for subtle forms of mean reversion. Copyright 1991 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Political Economy.
Volume (Year): 99 (1991)
Issue (Month): 6 (December)
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Web page: http://www.journals.uchicago.edu/JPE/
Other versions of this item:
- Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics 32, Federal Reserve Bank of Minneapolis.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Diebold, Francis X & Rudebusch, Glenn D, 1991.
"Is Consumption Too Smooth? Long Memory and the Deaton Paradox,"
The Review of Economics and Statistics,
MIT Press, vol. 73(1), pages 1-9, February.
- Francis X. Diebold & Glenn D. Rudebusch, 1989. "Is consumption too smooth? Long memory and the Deaton paradox," Finance and Economics Discussion Series 57, Board of Governors of the Federal Reserve System (U.S.).
- Lothian, James R., 1990. "A century plus of Yen exchange rate behavior," Japan and the World Economy, Elsevier, vol. 2(1), pages 47-70, March.
- Francis X. Diebold & Marc Nerlove, 1988. "Unit roots in economic time series: a selective survey," Finance and Economics Discussion Series 49, Board of Governors of the Federal Reserve System (U.S.).
- Francis X. Diebold & Glenn D. Rudebusch, 1990.
"On the power of Dickey-Fuller tests against fractional alternatives,"
Finance and Economics Discussion Series
119, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
- Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
- Jeffrey A. Frankel, 1991.
"Quantifying International Capital Mobility in the 1980s,"
in: National Saving and Economic Performance, pages 227-270
National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A., 1989. "Quantifying International Capital Mobility in the 1980s," Department of Economics, Working Paper Series qt4fw7c7bh, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Jeffrey A. Frankel, 1991. "Quantifying International Capital Mobility in the 1980s," NBER Working Papers 2856, National Bureau of Economic Research, Inc.
- Hakkio, Craig, 1986. "Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 221-229, June.
- Officer, Lawrence H., 1983. "Dollar-Sterling Mint Parity and Exchange Rates, 1791–1834," The Journal of Economic History, Cambridge University Press, vol. 43(03), pages 579-616, September.
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Francis X. Diebold & Glenn D. Rudebusch, 1988.
"Long memory and persistence in aggregate output,"
Finance and Economics Discussion Series
7, Board of Governors of the Federal Reserve System (U.S.).
- Craig S. Hakkio, 1982. "A Reexamination of Purchasing Power Parity: A Multicountry and Multiperiod Study," NBER Working Papers 0865, National Bureau of Economic Research, Inc.
- Mark Rush & Steven Husted, 1985. "Purchasing Power Parity in the Long Run," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 137-45, February.
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