Inflation Thresholds and the Efficiency of the Banking Sector

Edgar Ghossoub ()
Additional contact information
Edgar Ghossoub: UTSA

Working Papers from College of Business, University of Texas at San Antonio

Abstract: This study re-examines the validity of Purchasing Power Parity (PPP) by focusing on the real effective exchange rates (REERs) for the post-Bretton Woods period, using newly developed unit root tests that account for both nonlinearity and smooth temporary multiple breaks in the data. The tests are applied to the REERs of 23 developed countries and are able to reject the null hypothesis of a unit root in 20 cases. The test results reveal that large swings truly exist in most of the REERs, therefore it is crucial to model these infrequent smooth temporary mean changes in the data in testing the (non)stationarity of the REERs. The study provides stronger support than most of previous studies for that PPP holds in a stricter, multi-country version during the floating exchange rate period for the majority of developed countries.

Keywords: Economic Development; Inflation Thresholds; Banking competition; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E31 E41 E44 O42 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2015-02-04
References: Add references at CitEc
Citations:

Downloads: (external link)
http://interim.business.utsa.edu/wps/eco/0005ECO-566-2015.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:tsa:wpaper:0159eco

Access Statistics for this paper

More papers in Working Papers from College of Business, University of Texas at San Antonio Contact information at EDIRC.
Bibliographic data for series maintained by Wendy Frost ().