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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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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions (1998) Downloads
Working Paper: Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions (1998) Downloads
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