Ventosa-Santaulària, Daniel and Wallace, Frederick and Gómez-Zaldívar, Manuel (2012): Is the real effective exchange rate biased against the PPP hypothesis?
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We show that the use of the real effective exchange rate to test for purchasing power parity, as in Astorga (2012) and other studies, introduces a bias against finding evidence of PPP. The bias is illustrated using unit root tests applied to bilateral real rates.
|Item Type:||MPRA Paper|
|Original Title:||Is the real effective exchange rate biased against the PPP hypothesis?|
|Keywords:||PPP; real effective exchange rate; stationarity|
|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 > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Frederick Wallace|
|Date Deposited:||07 Nov 2012 15:47|
|Last Modified:||13 Oct 2016 03:49|
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