Are real exchange rates mean reverting? Evidence from a panel of OECD countries
AbstractIn our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19527.
Date of creation: 2009
Date of revision:
Real Exchange Rates ; Panel Unit Root Tests ; OECD Economies ;
Other versions of this item:
- Ozgur Aslan & Levent Korap, 2009. "Are real exchange rates mean reverting? Evidence from a panel of OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 23-27.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-IFN-2010-01-16 (International Finance)
- NEP-OPM-2010-01-16 (Open Economy Macroeconomic)
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