IDEAS home Printed from https://ideas.repec.org/a/ris/ecoint/0467.html
   My bibliography  Save this article

Long-Run purchasing Power Parity and Mean Reversion in Real Exchange Rates: A Further Assessment

Author

Listed:
  • Tronzano, Marco

    (Università degli Studi di Genova, Dipartimento di Economia e Metodi Quantitativi)

Abstract

The paper tests purchasing-power-parity as a long-run equilibrium condition, focusing on bilateral exchange rates between the dollar, the mark, and the yen. The sample consists of quarterly data ranging from 1955 to 1990. Differently from most previous work’s, a preliminary data investigation is performed, to seek for eventual deterministic trends which might seriously affect empirical findings from co integration analysis. Furthermore, since unit-root test have typically a low power against interesting stationary alternative, they are supplemented with a different methodology relying upon a variance-ratio approach. Overal1, long-run purchasing-power-parity is not supported by data considering mark/dollar and yen/dollar rates, while an opposite conclusion is drawn for the yen/mark exchange rate. This result appears to be robust to alternative research strategies.

Suggested Citation

  • Tronzano, Marco, 1992. "Long-Run purchasing Power Parity and Mean Reversion in Real Exchange Rates: A Further Assessment," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 45(1), pages 77-100.
    • Handle: RePEc:ris:ecoint:0467
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    Citations

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


    Cited by:

    1. Nyoni, Thabani, 2019. "An ARIMA analysis of the Indian Rupee/USD exchange rate in India," MPRA Paper 96908, University Library of Munich, Germany.
    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. Amalia Zumaquero & Rodrigo Urrea, 2002. "Purchasing Power Parity: Error Correction Models and Structural Breaks," Open Economies Review, Springer, vol. 13(1), pages 5-26, January.

    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:ris:ecoint:0467. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Angela Procopio (email available below). General contact details of provider: https://edirc.repec.org/data/cacogit.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.