Tekijä: | Papell, D. |
Otsikko: | Searching for stationarity: purchasing power parity under the current float |
Lehti: | Journal of International Economics
1997 : NOV, VOL. 43:3/4, p. 313-332 |
Asiasana: | ECONOMICS PURCHASING POWER PARITY INTERNATIONAL |
Kieli: | eng |
Tiivistelmä: | Using panel data methods, the author investigates long-run purchasing power parity by testing for unit roots in real exchange rates of industrial countries under the current float. The evidence against the unite root hypothesis is stronger for larger than for smaller panels, for monthly than for quarterly data, and when the German mark, rather than the United States dollar, is used as the base currency. While the author finds that accounting for serial correlation considerably weakens the evidence against the unit root null, the results as a whole are consistent with long-run purchasing power parity. |
SCIMA