The purpose of this paper is to re-investigate issues in purchasing power parity (PPP) convergence using a threshold vector error-correction model with deutschmark-based exchange rates. We find that the half-life of real exchange rates is less than two and a half years, that PPP convergence is...

This paper investigates the half-life of real exchange rates after taking into account the impact of home bias. Empirical results indicate that the half-life of real exchange rates is in the range of 1.5 to 2years for four out of five countries after controlling the impact of home bias. These...

This paper investigates the half-life of real exchange rates after taking into account the impact of home bias. Empirical results indicate that the half-life of real exchange rates is in the range of 1.5 to 2 years for four out of five countries after controlling the impact of home bias....