IDEAS home Printed from https://ideas.repec.org/a/mcb/jmoncb/v24y1992i1p72-82.html
   My bibliography  Save this article

The Long-Run Behavior of the Real Exchange Rate: A Reconsideration

Author

Listed:
  • Whitt, Joseph A, Jr

Abstract

Using a new statistical test, this paper provides empirical evidence that the real exchange rate is not a random walk. If the real exchange rate were a random walk, deviations from purchasing power parity could be expected to become unbounded as the forecast horizon became longer. Recently, Christopher A. Sims proposed a test based on Bayesian posterior odds ratios that is designed to discriminate between a unit root and a large but stationary autocorrelation coefficient. This paper applies the Sims test to real exchange rate data for six industrial countries. The results reject the random walk hypothesis. Copyright 1992 by Ohio State University Press.

Suggested Citation

  • Whitt, Joseph A, Jr, 1992. "The Long-Run Behavior of the Real Exchange Rate: A Reconsideration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(1), pages 72-82, February.
  • Handle: RePEc:mcb:jmoncb:v:24:y:1992:i:1:p:72-82
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-2879%28199202%2924%3A1%3C72%3ATLBOTR%3E2.0.CO%3B2-Z&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
    2. Mariam Camarero & Cecilio Tamarit, 1996. "Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC," Open Economies Review, Springer, vol. 7(1), pages 61-76, January.
    3. Goldberg, Lawrence G. & Gosnell, Thomas F. & Okunev, John, 1997. "Purchasing power parity: Modeling and testing mean reversion," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 949-966, July.
    4. Emmanuel Anoruo & Habtu Braha & Yusuf Ahmad, 2002. "Purchasing power parity: Evidence from developing Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(2), pages 85-96, May.
    5. Rey, Serge & Varachaud, Pascal, 2000. "Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro
      [The behavior of European real exchange rates from the Bretton Woods system end to the adoption of
      ," MPRA Paper 49502, University Library of Munich, Germany.
    6. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
    7. repec:onb:oenbwp:y::i:28:b:1 is not listed on IDEAS
    8. repec:kap:iaecre:v:8:y:2002:i:2:p:85-96 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:24:y:1992:i:1:p:72-82. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.