The real exchange rate, regime changes and volatility shifts

D. Ventosa-Santaul a, M. G -Zald and Frederick Wallace
Authors registered in the RePEc Author Service: Daniel Ventosa-Santaulària and Manuel Gómez-Zaldívar

Applied Economics, 2015, vol. 47, issue 24, 2445-2454

Abstract: We make use of a data-set with both long span and high frequency to test for purchasing power parity (PPP) while allowing for a structural shift in the volatility of the Mexico-US bilateral real exchange rate (RER). The Kim, Leybourne and Newbold (2002) unit root test, robust to changes in the innovation variance, indicates mean stationarity of the monthly RER, and hence evidence of PPP, for the full sample, 1930-2012, and various subsamples. The persistence of deviations of the real rate from its PPP level as measured by half-lives ranges from 1.37 to 2.41 years.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1005821 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Real Exchange Rate, Regime Changes and Volatility Shifts (2013)
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:applec:v:47:y:2015:i:24:p:2445-2454

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1005821

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

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