IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v9y1999i2p117-127.html
   My bibliography  Save this article

Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates

Author

Listed:
  • Andrew Parkes
  • Andreas Savvides

Abstract

The paper contributes to the growing evidence in favour of mean reversion in real exchange rates of industrial countries. The sequential regression model is used to search for endogenous structural breaks in long-term annual sterling exchange rates for the G-7. Any structural breaks thus detected are introduced into a system of univariate autoregressions of the real exchange rate estimated jointly via restricted GLS. Multivariate unit root tests reject the null hypothesis decisively. Our evidence, however, shows that reversion of long-term sterling exchange rates is towards a mean that (for some exchange rates) experiences a structural shift at an endogenously determined date.

Suggested Citation

  • Andrew Parkes & Andreas Savvides, 1999. "Purchasing power parity in the long run and structural breaks: evidence from real sterling exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 117-127.
  • Handle: RePEc:taf:apfiec:v:9:y:1999:i:2:p:117-127
    DOI: 10.1080/096031099332384
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332384
    Download Restriction: Access to full text is restricted to subscribers.

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

    References listed on IDEAS

    as
    1. Alan M. Taylor, 1996. "International Capital Mobility in History: Purchasing-Power Parity in the Long Run," NBER Working Papers 5742, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Clements, Kenneth W. & Lan, Yihui, 2010. "A new approach to forecasting exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1424-1437, November.
    2. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
    3. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part III: The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 03-07, The University of Western Australia, Department of Economics.
    4. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
    5. Mariam Camarero & Juan Carlos Cuestas & Javier Ordonez, 2008. "Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 30-46.
    6. Karoglou, Michail & Morley, Bruce, 2012. "Purchasing power parity and structural instability in the US/UK exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 958-972.
    7. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part V: The Stationarity of Exchange Rates," Economics Discussion / Working Papers 03-09, The University of Western Australia, Department of Economics.

    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:taf:apfiec:v:9:y:1999:i:2:p:117-127. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.