Levent, Korap (2009): Are real exchange rates mean reverting? Evidence from a panel of OECD countries. Published in: Applied Economics Letters , Vol. 16, (2009): pp. 23-27.
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In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity.
|Item Type:||MPRA Paper|
|Original Title:||Are real exchange rates mean reverting? Evidence from a panel of OECD countries|
|English Title:||Are real exchange rates mean reverting? Evidence from a panel of OECD countries|
|Keywords:||Real Exchange Rates ; Panel Unit Root Tests ; OECD Economies ;|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Levent Korap|
|Date Deposited:||25. Dec 2009 06:07|
|Last Modified:||16. Feb 2013 16:00|
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