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Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900 … theory is not verified in Argentina, since its RER appears as a non-stationary variable, and there is no evidence of …-stationary under structural breaks with a continuous real depreciation of the Argentinean currency, especially in the first half of XX …

Persistent link: https://www.econbiz.de/10010289485

Identification of the true break date in innovational outlier unit root tests

Popp, Stephan - 2007

estimation of the break date leads to considerable spurious rejections of the null hypothesis in small samples. In this paper … the corresponding test statistics. Monte Carlo simulations of size and power testify the favorable properties of the …

Persistent link: https://www.econbiz.de/10010300218

A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications

Fischer, Christoph; Porath, Daniel - 2006

Panel unit root tests of real exchange rates - as opposed to univariate tests - usually reject non-stationarity. These tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that the real exchange rate, being a sum of a stationary...

Persistent link: https://www.econbiz.de/10010295811

Why not use standard panel unit root test for testing PPP

Lyhagen, Johan - 2000

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity …

Persistent link: https://www.econbiz.de/10010281460

A Nonlinear Unit Root Test in the Presence of an Unknown Break

Popp, Stephan - 2008

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...

Persistent link: https://www.econbiz.de/10010264716

Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates

Lee, Hwa-Taek; Yoon, Gawon - 2007

regarding the validity of purchasing power parity [PPP]. Rather than asking if PPP holds throughout the whole sample period, we …

Persistent link: https://www.econbiz.de/10010296288

PPP: a Disaggregated View

Fischer, Christoph - 2004

By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...

Persistent link: https://www.econbiz.de/10010295634