How Sure Are We about Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates.

This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based on the Kwiatkowski et al. (1992) test for the stationarity null generalized in a multivariate random walk plus noise model by Nyblom and Harvey (2000).

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Year of publication:	2001
Authors:	Kuo, Biing-Shen ; Mikkola, Anne
Published in:	Journal of Money, Credit and Banking. - Blackwell Publishing. - Vol. 33.2001, 3, p. 767-89
Publisher:	Blackwell Publishing

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005813890