A reappraisal of parity reversion for UK real exchange rates
We apply a new approach to test the long-run purchasing power parity theory of real exchange rate movements for the UK. The question of whether real exchange rates have a unit root or are mean reverting is set in the more general framework of fractionally differenced time-series models. Our results suggest that in the current period of floating rates, UK real exchange rates return to parity in the long run.
Year of publication: |
1994
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Authors: | Crato, Nuno ; Rothman, Philip |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 1.1994, 9, p. 139-141
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Publisher: |
Taylor & Francis Journals |
Saved in:
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