کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
965021 930680 2010 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
چکیده انگلیسی
The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. The test rejects the null at the 10% significance level for nine out of 17 countries, providing solid evidence for a decline in the persistence of real exchange rates. However, the decline is not sufficient for PPP, meaning we fail to reject the unit root hypothesis even in the latter period for all 17 countries. In addition, our rolling-window estimates show that the real exchange rate of many countries have experienced a sharp drop in their persistence once we use samples starting from the mid-1980s. Finally, we examine the relationship between the dynamics of PPP deviation persistence and several economic variables and confirm that the speed of convergence of PPP deviations is highly related to economic/financial integration and world economic stabilization.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Japanese and International Economies - Volume 24, Issue 3, September 2010, Pages 395-411
نویسندگان
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