Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions
Tamim Bayoumi and
Ronald MacDonald
IMF Staff Papers, 1999, vol. 46, issue 1, 5
Abstract:
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean reverting, the intranational rates are not. This is consistent with the view that while nominal shocks may be mean reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates. Copyright 1999, International Monetary Fund
JEL-codes: C12 C23 F31 (search for similar items in EconPapers)
Date: 1999
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Working Paper: Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions (1998) 
Working Paper: Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions (1998) 
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