 Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?Marcel Aloy, Mohamed Boutahar, Karine Gente () and Anne Péguin-Feissolle Economic Modelling, 2011, vol. 28, issue 3, 1279-1290 Abstract: This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the US Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three step testing procedure based on recently introduced econometric techniques, in order to assess the mean-reverting properties of the RER and to address the question of whether real exchange rates follow a non linear process or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study are not mean-reverting. Secondly, the nonlinear ESTAR type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties. Keywords: Fractional; Integration; Nonlinear; modelling; Mean; reverting; process; Long-memory; process (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:3:p:1279-1290 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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