The specification of cross exchange rate equations used to test Purchasing Power Parity
The Article considers the specification of models used to test Purchasing Power Parity when applied to cross exchange rates. Specifically,conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspecified, except when the parameters of each exchange rate equation are the same.
|Date of creation:||Nov 2004|
|Date of revision:|
|Contact details of provider:|| Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK|
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