How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP

Georgios Chortareas and George Kapetanios

No 522, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be problematic and suggests an alternative measure. Empirical analysis suggests that use of the new measure may shed light on the PPP puzzle.

Keywords: PPP; Half life; Real exchange rates (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
Date: 2004-10-01
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Citations: View citations in EconPapers (12)

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Working Paper: How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:522

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