Persistence in Real Exchange Rate Convergence

Thanasis Stengos and Ege Yazgan ()

No 1207, Working Papers from University of Guelph, Department of Economics and Finance

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 fifty year period (1957 to 2009). The analysis focusses 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=d

Keywords: Purchasing Power Parity; Convergence; Long Memory; Pairwise Approach. (search for similar items in EconPapers)
JEL-codes: C23 E31 F41 (search for similar items in EconPapers)
Pages: 28
Date: 2012
New Economics Papers: this item is included in nep-opm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Persistence in real exchange rate convergence (2014)
Working Paper: Persistence in Real Exchange Rate Convergence (2012)
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