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| Author: | Murray, C.J. Papell, D.H. |
| Title: | The purchasing power parity persistence paradigm |
| Journal: | Journal of International Economics
2002 : JAN, VOL. 56:1, p. 1-19 |
| Index terms: | EXCHANGE RATES PURCHASING POWER PARITY |
| Freeterms: | HALF-LIVES |
| Language: | eng |
| Abstract: | Rogoff (Journal of Economic Literature 1996;34;647-668) describes the "remarkable consensus" of 3-5 year half-lives of purchasing power parity deviations among studies using long-horizon data. These studies, however, focus on rejections of unit roots in real exchange rates and do not use appropriate techniques to measure persistence. The authors' half-life estimates explicitly account for serial correlation, sampling uncertainty and, most importantly, small sample bias. |
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