CROSS SECTIONAL DEPENDENCY HETEROGENEITY AND THE REAL EXCHANGE RATE IN AFRICA

Khalifa Hassanain ()

No 1032, International Trade and Finance Association Conference Papers from International Trade and Finance Association

Abstract: In this study we employ Chang and Song (2005) new panel testing procedure that allow for individual panel units to be dependent through correlations among innovations, or cross-sectional cointegrations to test for real exchange rate mean reversion in African panels. The procedure uses covariates to further increase power, and order statistics to test for more flexible forms of hypotheses, that are of particular importance in heterogeneous panels. We apply the procedure to panels of African real exchange rates and in contrast to some of the recent studies, we do not find support for PPP when the stationary series are excluded from the panel. This may imply that for most African countries the exchange rate policy reforms have not been completely successful in bringing the real exchange rate back to equilibrium during the period of study. Presented at the 15th International Conference,Istanbul, Turkey, May 2005.

Date: 2005-05-18
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:bep:itfapp:1032

Access Statistics for this paper

More papers in International Trade and Finance Association Conference Papers from International Trade and Finance Association
Bibliographic data for series maintained by Christopher F. Baum ().