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Short run real exchange rate dynamics: a SUR approach

Jaebeom Kim

Applied Economics Letters, 2004, vol. 11, issue 14, 909-913

Abstract: 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.

Date: 2004
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DOI: 10.1080/1350485042000269876

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