How Sure Are We about Purchasing Power Parity? Panel Evidence with the Null of Stationary Real Exchange Rates

Biing-Shen Kuo and Anne Mikkola

Journal of Money, Credit and Banking, 2001, vol. 33, issue 3, 767-89

Abstract: This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based on the Kwiatkowski et al. (1992) test for the stationarity null generalized in a multivariate random walk plus noise model by Nyblom and Harvey (2000).

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:33:y:2001:i:3:p:767-89

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