haku: @author Wakerly, E. / yhteensä: 1
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| Tekijä: | Parikh, A. Wakerly, E. |
| Otsikko: | Real exchange rates and unit root tests |
| Lehti: | Weltwirtschaftliches Archiv
2000 : VOL. 136:3, p. 478-490 |
| Asiasana: | EXCHANGE RATES UNIT ROOTS TESTS |
| Kieli: | eng |
| Tiivistelmä: | This paper argues that real exchange rates should not have unit roots: where they do, it implies violation of the strict version of purchasing power parity (PPP). However, it does not imply rejection of a modified version of PPP based on cointegration between nominal exchange rates and relative prices. The standard approach to unit root testing, where the null of stationarity is tested against the alternative of non-stationarity, leads to results that tend to favour the null. |
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