using cointegration and Granger causality testing. The main findings are that in the long run foreign exchange reserves …

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found … for cointegration between nominal exchange rate and relative prices that accounts for multiple structural breaks. We find … that for 14 out of 15 OECD countries, there is evidence of a cointegration relationship between nominal exchange rate and …

in this literature we use a panel cointegration test, developed by Westerlund (2006), which allows us to incorporate … multiple structural breaks. We find that using Gregory and Hansen's (1996) residual-based test for cointegration and Pedroni …'s (1999) panel cointegration test without structural breaks provide weak evidence of cointegration between nominal exchange …

This paper investigates the all important issue of diagnostic tests, including unit roots and cointegration, in the … some post-1995 studies have ignored unit root tests and co-integration and, hence, are vulnerable to the so …