Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions, IMF Staff Papers, March 1999
نویسندگان
چکیده
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean reverting, the intranational rates are not. This is consistent with the view that while nominal shocks may be mean reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates. [JEL C12, C23, F31]
منابع مشابه
IMF Staff Papers - Volume 50, Number 3, 2003 - An Unbiased Appraisal of Purchasing Power Parity by Paul Cashin and C. John McDermott (December 2003)
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity (PPP) of between three to five years (Rogoff, 1996). However, conventional least-squares-based estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks ...
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