VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored

► We revisit estimations of the PPP reversion rate in a vector error correction model. ► We use Taylor's (2002) century-long exchange rate data to study real exchange rate dynamics. ► We find an important role of relative price adjustments when relative price shocks occur. ► We observed protracted responses of the real exchange rate more often when relative price shocks occur.