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- W2099702875 abstract "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% signicance level for 9 out of 17 countries, providing solid evidence for a decline in the persistence of real exchange rates. However, the decline is not sucient for PPP, meaning we fail to reject the unit root hypothesis even in the latter period for all 17 countries. In addition, our rolling-window estimates show that the real exchange rate of many countries have experienced a sharp drop in their persistence once we use samples starting from the mid-1980s. Finally, we examine the relationship between the dynamics of PPP deviation persistence and several economic variables and conrm that the speed of convergence of PPP deviations is highly related to economic/nancial" @default.
- W2099702875 created "2016-06-24" @default.
- W2099702875 creator A5056683187 @default.
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- W2099702875 date "2010-09-01" @default.
- W2099702875 modified "2023-09-30" @default.
- W2099702875 title "Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity" @default.
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- W2099702875 doi "https://doi.org/10.1016/j.jjie.2010.06.001" @default.
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