Are real exchange rates mean reverting? Evidence from a panel of OECD countries
In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity.
Year of publication: |
2009
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Authors: | Aslan, Ozgur ; Korap, Levent |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 1, p. 23-27
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Publisher: |
Taylor & Francis Journals |
Saved in:
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