Long Run Real Exchange Rates - A Cointegration Analysis

Annika Alexius ()

No 119, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: Long run purchasing power is tested on 16 OECD countries using data from 1960 to 1994, PPP is rejected for some countries (Canada, Japan, Switzerland, Austria, Italy and Spain) and not rejected for other (Sweden, France, Holland and the United Kingdom). For the latter countries, impulse response functions show that half of a disturbance tot the equilibrium real exchange rate disapperars within three years. The method used is Johansen's maximum likelihood approach to cointegration. Simulations are used to obtain empirical critical values of the tests.

Keywords: Purchasing power parity; real exchange rates (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 1996-06
View citations in EconPapers

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0119

Access Statistics for this paper

More papers in Working Paper Series in Economics and Finance from Stockholm School of Economics
Address: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Contact information at EDIRC.
Series data maintained by Helena Lundin ().