Purchasing power parity and structural instability in the US/UK exchange rate

Purchasing Power Parity and the Real Rand-dollar Exchange Rate

his paper tests for evidence in support of the purchasing power parity (PPP) in the bilateral real exchange rate series of the South African rand against the US dollar. The importance of considering structural breaks in the PPP test is illustrated. Using standard unit root tests without considering structural breaks, the study is unable to reject the null hypothesis of a unit root in the exchan...

Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle ¬リニ

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard gridbased estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about complicated functions of the parameters, such as the half-life measure of persistence based on generalized...

Calibrating measurement uncertainty in purchasing power parity exchange rates

Nonlinear Adjustment Towards Purchasing Power Parity

Purchasing power parity and real effective exchange rates

This study re-examines the validity of Purchasing Power Parity (PPP) by focusing on the real effective exchange rates (REERs) for the post-Bretton Woods period, using newly developed unit root tests that account for both nonlinearity and smooth temporary multiple breaks in the data. The tests are applied to the REERs of 23 developed countries and are able to reject the null hypothesis of a unit...