EconPapers    
Economics at your fingertips  
 

On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973

Graham Elliott () and Elena Pesavento ()

Journal of Money, Credit and Banking, 2006, vol. 38, issue 6, 1405-1430

Abstract: Point estimates suggest mean reversion in real exchange rates; however, it still remains uncomfortable that models without any mean reversion are often compatible with data from the floating period. Studies with data over longer periods find mean reversion, but at the cost of mixing in data from earlier exchange rate arrangements. Pooling the floating period data potentially mixes country pairs with and without mean reversion. We examine tests for mean reversion for individual country pairs where greater power against close alternatives is gained through modeling other economic variables with the real exchange rate. By increasing the power of the tests we find strong evidence of mean reversion.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1353/mcb.2006.0080 full text (application/pdf)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:38:y:2006:i:6:p:1405-1430

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-08-20
Handle: RePEc:mcb:jmoncb:v:38:y:2006:i:6:p:1405-1430