Working Paper 30
Although there has been much recent work on Purchasing Power Parity (PPP), neither univariate nor panel methods have produced strong rejections of unit roots in U.S. dollar real exchange rates for industrialized countries during the post-1973 period. We investigate the hypothesis that these non-rejections can be explained by one episode, the large appreciation and depreciation of the dollar in the 1980s, by developing unit root tests which account for this event and maintain long-run PPP. Using panel methods, we can reject the unit root null for those countries which adhere to the typical pattern of the dollar's rise and fall.
Year of publication: |
1998-07-03
|
---|---|
Authors: | Papell, David |
Institutions: | Oesterreichische Nationalbank |
Saved in:
freely available
Saved in favorites
Similar items by person
-
The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis
Papell, David, (1998)
-
Testing for Group-Wise Convergence with an Application to Euro Area Inflation
Lopez, Claude, (2010)
-
Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle
Lopez, Claude, (2009)
- More ...