Rey, Serge and Varachaud, Pascal (2000): Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro.

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Abstract
This article examines the PPP hypothesis, i.e. the proposition that the real exchange rates are stationary, in the case of Europe. For that purpose, we study the statistical properties of 14 European bilateral real exchange rates against the Deutschmark, over the periods snake and EMS. These rates are constructed using different indexes: consumer prices, wholesale prices and unit labor costs. The results of unitroot tests show that globally there is little evidence to support PPP, i.e. the stationarity of the real exchange rates. At the most, some meanreverting processes are verified. Furthermore, general PPP with consumer prices is only verified between France and Germany. Whether the country is a member of the snake and/or of the EMS have not influence on results.
Item Type:  MPRA Paper 

Original Title:  Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro 
English Title:  The behavior of European real exchange rates from the Bretton Woods system end to the adoption of the euro 
Language:  French 
Keywords:  Real exchange rate, PPP, EMS, unit roots, long memory, meanreversion, structural breaks. 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes F  International Economics > F1  Trade > F15  Economic Integration F  International Economics > F4  Macroeconomic Aspects of International Trade and Finance > F41  Open Economy Macroeconomics 
Item ID:  49502 
Depositing User:  Unnamed user with email serge.rey@univpau.fr 
Date Deposited:  05 Sep 2013 15:46 
Last Modified:  30 Sep 2019 15:09 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/49502 