A reappraisal of parity reversion for UK real exchange rates

Nuno Crato () and Philip Rothman ()

Applied Economics Letters, 1994, vol. 1, issue 9, 139-141

Abstract: We apply a new approach to test the long-run purchasing power parity theory of real exchange rate movements for the UK. The question of whether real exchange rates have a unit root or are mean reverting is set in the more general framework of fractionally differenced time-series models. Our results suggest that in the current period of floating rates, UK real exchange rates return to parity in the long run.

Date: 1994
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DOI: 10.1080/135048594357970

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