Long Run Real Exchange Rates - A Cointegration Analysis
AbstractLong run purchasing power is tested on 16 OECD countries using data from 1960 to 1994, PPP is rejected for some countries (Canada, Japan, Switzerland, Austria, Italy and Spain) and not rejected for other (Sweden, France, Holland and the United Kingdom). For the latter countries, impulse response functions show that half of a disturbance tot the equilibrium real exchange rate disapperars within three years. The method used is Johansen's maximum likelihood approach to cointegration. Simulations are used to obtain empirical critical values of the tests.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 119.
Length: 37 pages
Date of creation: Jun 1996
Date of revision:
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Purchasing power parity; real exchange rates;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Sohnke M. Bartram, 2001.
"Corporate Risk Management as a Lever for Shareholder Value Creation,"
0108002, EconWPA, revised 10 Aug 2001.
- Bartram, S.M., 2000. "Corporate Risk Management as a Lever for Shareholder Value Creation," Papers 00-58, Southern California - School of Business Administration.
- Larsson, Anna, 2002.
"The Swedish Real Exchange Rate under Different Currency Regimes,"
Working Paper Series
180, Trade Union Institute for Economic Research, revised 18 Sep 2003.
- Anna Larsson, 2004. "The Swedish real exchange rate under different currency regimes," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 140(4), pages 706-727, December.
- Annika Alexius, 1997. "Import prices and nominal exchange rates in Sweden," Finnish Economic Papers, Finnish Economic Association, vol. 10(2), pages 99-107, Autumn.
- Andersson, Andreas & Österholm, Pär, 2001. "The Impact of Demography on the Real Exchange Rate," Working Paper Series 2001:11, Uppsala University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).
If references are entirely missing, you can add them using this form.