This paper proposes a measure of exchange rate disconnect. Working in a two-currency international economy, our theory implies that the disconnect is the ratio of two martingales. Weanalyze empirically our measure of disconnect using 406 pairs of economies to reveal a geography of disconnect....

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct...

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct...