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Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi

Description

The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. The test rejects the null at the 10% significance level for nine out of 17 countries, providing solid evidence for a decline in the persistence of real exchange rates. However, the decline is not sufficient for PPP, meaning we...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/28907
Source: Journal of the Japanese and International Economies
DOI: 10.1016/j.jjie.2010.06.001

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