Persistence in real exchange rate convergence

Thanasis Stengos and Ege Yazgan ()

Studies in Nonlinear Dynamics & Econometrics, 2014, vol. 18, issue 1, 73-88

Abstract: In this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a 50 year period (1957–2009). The analysis focuses on the long memory parameter d that allows us to obtain different convergence classifications depending on its value. Our analysis allows for the presence of smooth structural breaks and it does not rely on the use of a benchmark. Overall the evidence strongly points to the presence of a long memory process, where 0.5

Keywords: purchasing power parity; convergence; long memory; pair-wise approach (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Working Paper: Persistence in Real Exchange Rate Convergence (2012)
Working Paper: Persistence in Real Exchange Rate Convergence (2012)
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DOI: 10.1515/snde-2012-0039

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