Purchasing power parity and long memory

Gawon Yoon

Applied Economics Letters, 2009, vol. 16, issue 1, 55-61

Abstract: This article examines the validity of purchasing power parity by estimating long memory parameters with recently suggested exact local Whittle estimators of Shimotsu and Phillips (2005). Little evidence is found for stationarity in the real exchange rates spanning more than 100 years from 16 advanced countries. However, most of the estimates of long memory parameters are less than 1, so that they indicate mean-reversion to parity. Hence, purchasing power parity holds for most real exchange rates studied here.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
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:taf:apeclt:v:16:y:2009:i:1:p:55-61

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850601044961

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().