This paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with uncorrelated increments. We provide expressions for the corresponding variances, and covariances, for both the levels and...

This paper uses a unique new monthly US-UK real exchange rate series for the January 1794 – December 2009 period to reexamine the academic debate over purchasing power parity (PPP). The consensus view described by Rogoff (1996) is that PPP holds in the long-run, but short run deviations are...