How sure are we about purchasing power parity? Panel evidence with the null of stationary real exchange rates

被引：15

作者：

Kuo, BS ^{[1
]}

Mikkola, A ^{[1
]}

机构：

[1] Natl Chengchi Univ, Grad Inst Int Trade, Taipei, Taiwan

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2001年 / 33卷 / 03期

关键词：

D O I：

10.2307/2673893

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency, and actually tests for the null of interest, that is, purchasing power parity. Our results are based on the Kwiatkowski et al. (1992) test for the stationarity null generalized in a multivariate random walk plus noise model by Nyblom and Harvey (2000).

引用

页码：767 / 789

页数：23

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