Deviations of Exchange Rates From Purchasing Power Parity
AbstractWe examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean-reverting, the intra-national rates are not. This is consistent with the view that while monetary shocks may be mean-reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 98/69.
Date of creation: 01 May 1998
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- António Portugal Duarte, 2005.
"Purchasing power parity: an empirical study of three EMU countries,"
- António Portugal Duarte, 2005. "Purchasing power parity: an empirical study of three EMU countries," International Trade 0505005, EconWPA.
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