This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007 …

the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008 …) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity … tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before …

The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member … countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel … members are stationary; (ii) the presence of cross-sectional dependence among the countries in the panel; and (iii) the …

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

of money illusion. Using data from the German Socio-Economic Panel for the years 1993 to 2003, we cannot reject the …

effect is large enough, devaluations can be contractionary. Using a large panel of 57 countries across the world and various …