How puzzling is the PPP puzzle? An alternative half-life measure of convergence to PPP

The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be problematic and suggests an alternative measure. Empirical analysis suggests that use of the new measure may shed light on the PPP puzzle.

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Year of publication:	2004
Authors:	Chortareas, Georgios E. ; Kapetanios, George
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	KaufkraftparitÃƒÂ¤t \| Wechselkurs \| VolatilitÃƒÂ¤t \| SchÃƒÂ¤tzung \| USA \| PPP, Half life, Real exchange rates

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Series:	Working Paper ; 522
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	471226505 [GVK] hdl:10419/62821 [Handle]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284120