Short run real exchange rate dynamics: a SUR approach
Applied Economics Letters, 2004, vol. 11, issue 14, 909-913
This paper examines the convergence question by contrasting the half-lives of deviations across the producer price index (PPI) and consumer price index (CPI) in a bivariate error correction model. To improve efficiency, the models are estimated jointly using a seemingly unrelated regressions approach.
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