Estimation of the Near Unit Root Model of Real Exchange Rates:
The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of sig...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
1996
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Schriftenreihe: | IMF Working Papers
Working Paper No. 96/50 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of significance we should expect 11 of the 22 series examined to yield evidence of mean reversion and to reject that hypothesis of a unit root. Using models that imply a constant unconditional mean or trend-stationary productivity changes, we find that only one of the 22 real exchange rates shows evidence against unit roots. This low rate of rejection of unit roots in real exchange rates can be construed as evidence against PPP |
Beschreibung: | 1 Online-Ressource (32 p) |
ISBN: | 1451846924 9781451846928 |
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spelling | McDermott, C. John Verfasser aut Estimation of the Near Unit Root Model of Real Exchange Rates McDermott, C. John Washington, D.C International Monetary Fund 1996 1 Online-Ressource (32 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 96/50 The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of significance we should expect 11 of the 22 series examined to yield evidence of mean reversion and to reject that hypothesis of a unit root. Using models that imply a constant unconditional mean or trend-stationary productivity changes, we find that only one of the 22 real exchange rates shows evidence against unit roots. This low rate of rejection of unit roots in real exchange rates can be construed as evidence against PPP Online-Ausg http://elibrary.imf.org/view/IMF001/02097-9781451846928/02097-9781451846928/02097-9781451846928.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | McDermott, C. John Estimation of the Near Unit Root Model of Real Exchange Rates |
title | Estimation of the Near Unit Root Model of Real Exchange Rates |
title_auth | Estimation of the Near Unit Root Model of Real Exchange Rates |
title_exact_search | Estimation of the Near Unit Root Model of Real Exchange Rates |
title_exact_search_txtP | Estimation of the Near Unit Root Model of Real Exchange Rates |
title_full | Estimation of the Near Unit Root Model of Real Exchange Rates McDermott, C. John |
title_fullStr | Estimation of the Near Unit Root Model of Real Exchange Rates McDermott, C. John |
title_full_unstemmed | Estimation of the Near Unit Root Model of Real Exchange Rates McDermott, C. John |
title_short | Estimation of the Near Unit Root Model of Real Exchange Rates |
title_sort | estimation of the near unit root model of real exchange rates |
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