Kuo, Biing-Shen; Mikkola, Anne - In: Journal of Money, Credit and Banking 33 (2001) 3, pp. 767-89
This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based...