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Purchasing Power Parity and Heterogenous Mean Reversion

Koedijk, Kees; Tims, Ben; Dijk, Mathijs A Van - C.E.P.R. Discussion Papers - 2006

This paper analyses the properties of multivariate tests of purchasing power parity (PPP) that fail to take heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and heterogeneous unit root testing methodologies. The...

Persistent link: https://www.econbiz.de/10005792288

The re-emergence of PPP in the 1990s

Koedijk, Kees - In: Journal of international money and finance 17 (1998) 1, pp. 51-61

Persistent link: https://www.econbiz.de/10001338371

Asian-Pacific reale exchange rates

Koedijk, Kees - In: Applied economics 24 (1992) 11, pp. 1255-1262

Persistent link: https://www.econbiz.de/10001132785

Dominant real exchange rate movements

Koedijk, Kees - In: Journal of international money and finance 8 (1989) 4, pp. 517-531

Persistent link: https://www.econbiz.de/10001074874

Real exchange rates between the wars

Kool, Clemens - In: Journal of international money and finance 16 (1997) 2, pp. 211-232

Persistent link: https://www.econbiz.de/10001225598

Purchasing power parity and the euro area

Koedijk, Kees (contributor); Tims, Ben (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002188659

Why panel tests of purchasing power parity should allow for heterogenous mean reversion

Koedijk, Kees; Tims, Ben; Dijk, Mathijs van - In: Journal of international money and finance 30 (2011) 1, pp. 246-267

Persistent link: https://www.econbiz.de/10009268848

I discovered the peso problem: Irving Fisher and the UIP puzzle

Lothian, James R.; Pownall, Rachel A. J.; Koedijk, Kees - In: Journal of international money and finance 38 (2013), pp. 5-17

Persistent link: https://www.econbiz.de/10010228930

Purchasing power parity and heterogenous mean reversion

Koedijk, Kees; Tims, Ben; Dijk, Mathijs van - 2006

Persistent link: https://www.econbiz.de/10003292961

Purchasing power parity and heterogeneous mean reversion

Koedijk, Kees (contributor); Tims, Ben (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003235254

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