Re-examining the Evidence for Long-Run Purchasing Power Parity.
D. Corbae and S. Ouliaris (1991) examined Australia's long-run real exchange rate and concluded that, because the data follow a random walk, purchasing power parity does not hold as a long-run equilibrium relation. The authors reexamine their data by calculating nonparametric measures of persistence and estimating fractionally integrated ARMA models. They find that shocks to the real exchange rate have a finite life. This result is consistent with long-run purchasing power parity. Copyright 1998 by The Economic Society of Australia.
Year of publication: |
1998
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Authors: | Olekalns, Nilss ; Wilkins, Nigel |
Published in: |
The Economic Record. - Economic Society of Australia - ESA, ISSN 1475-4932. - Vol. 74.1998, 224, p. 54-61
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Publisher: |
Economic Society of Australia - ESA |
Saved in:
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