Real Exchange Rates under the Gold Standard

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Real Exchange Rates under the Gold Standard

Author Info

Diebold, Francis X
Husted, Steven
Rush, Mark

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Abstract

In 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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Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 99 (1991)
Issue (Month): 6 (December)
Pages: 1252-71
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Handle: RePEc:ucp:jpolec:v:99:y:1991:i:6:p:1252-71

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Paper
- 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. [Downloadable!]

References listed on IDEAS
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.:

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. [Downloadable!] (restricted)
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. [Downloadable!]

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