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Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity

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Decline in the persistence of real exchange rates : but not sufficient for purchasing power parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2010

The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. In addition, our...