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The specification of cross exchange rate equations used to test Purchasing Power Parity

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Author Info
John Hunter ()
Mark Simpson

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Abstract

The Article considers the specification of models used to test Purchasing Power Parity when applied to cross exchange rates. Specifically,conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspecified, except when the parameters of each exchange rate equation are the same.

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File URL: http://www.brunel.ac.uk/329/efwps/04-22.pdf
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Publisher Info
Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number 04-22.

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Length: 5 pages
Date of creation: Nov 2004
Date of revision:
Handle: RePEc:bru:bruppp:04-22

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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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.:
  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  2. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
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  3. Smith, R. P. & Hunter, J., 1985. "Cross arbitrage and specification in exchange rate models," Economics Letters, Elsevier, vol. 18(4), pages 375-376. [Downloadable!] (restricted)
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