The specification of cross exchange rate equations used to test Purchasing Power Parity
AbstractThe 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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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number 04-22.
Length: 5 pages
Date of creation: Nov 2004
Date of revision:
Contact details of provider:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- John Hunter & Mark Simpson, 2004. "The specification of cross exchange rate equations used to test Purchasing Power Parity," Economics and Finance Discussion Papers 04-22, Economics and Finance Section, School of Social Sciences, Brunel University.
- NEP-ALL-2004-12-02 (All new papers)
- NEP-ECM-2004-12-02 (Econometrics)
- NEP-IFN-2004-12-02 (International Finance)
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