A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries

Jeffrey A. Frankel and Andrew K. Rose.
Authors registered in the RePEc Author Service: Jeffrey Alexander Frankel and Andrew Rose

No C95-052, Center for International and Development Economics Research (CIDER) Working Papers from University of California at Berkeley

Abstract: Previous time-series studies have shown evidence of mean-reversion in real exchange rates. Deviations from purchasing power parity (PPP) appear to have half-lives of approximately four years. However, the long samples required for statistical significance are unavailable for most currencies, and are potentially inappropriate because of regime changes. In this study, we re-examine deviations from PPP using a panel of 150 countries and 45 annual post WWII observations. Our panel shows strong evidence of mean-reversion that is similar to that from long time-series. PPP deviations are eroded at a rate of approximately 15 percent annually, i.e.,

Date: 1995-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (83)

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

Related works:
Journal Article: A panel project on purchasing power parity: Mean reversion within and between countries (1996)
Working Paper: A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries (1995)
Working Paper: A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries (1995)
Working Paper: A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries (1995)
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:ucb:calbcd:c95-052

Ordering information: This working paper can be ordered from
IBER, F502 Haas Building, University of California at Berkeley, Berkeley CA 94720-1922

Access Statistics for this paper

More papers in Center for International and Development Economics Research (CIDER) Working Papers from University of California at Berkeley University of California at Berkeley, Berkeley, CA USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().