The specification of cross exchange rate equations used to test Purchasing Power Parity

The Article considers the specification of models used to test Purchasing Power Parity when applied to cross exchange rates. Specifically,conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspecified, except when the parameters of each exchange rate equation are the same.

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Year of publication:	2004-11
Authors:	Hunter, John ; Simpson, Mark
Institutions:	Economics and Finance Section, School of Social Sciences, Brunel University

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Extent:	application/pdf
Series:	Economics and Finance Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	5 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005169835