Are real exchange rates more likely to be stationary during the fixed nominal exchange rate regimes?

References

• Abuaf , N. and Jorion , P. 1990 . Purchasing power parity in the long run . Journal of Finance , 45 : 157 – 74 .
   Web of Science ®Google Scholar
• Alba , J. D. and Papell , D. H. 2007 . Purchasing power parity and country characteristics: evidence from panel data tests . Journal of Development Economics , 83 : 240 – 51 .
   Web of Science ®Google Scholar
• Breitung , J. 2002 . Nonparametric tests for unit roots and cointegration . Journal of Econometrics , 108 : 343 – 63 .
   Web of Science ®Google Scholar
• Caporale , G. M. , Nikitas , P. and Panayotis , S. 2003 . Testing for PPP: the erratic behavior of unit root tests . Economics Letters , 80 : 277 – 84 .
   Web of Science ®Google Scholar
• Cheung , Y.-W. and Lai , K. S. 2000 . On cross-country differences in the persistence of real exchange rates . Journal of International Economics , 50 : 375 – 97 .
   Web of Science ®Google Scholar
• Dumas , B. 1992 . Dynamic equilibrium and the real exchange rate in spatially separated world . Review of Financial Studies , 5 : 153 – 80 .
   Web of Science ®Google Scholar
• Edison , H. J. and Klovland , J. T. 1987 . A quantitative reassessment of the purchasing power parity hypothesis: evidence from Norway and the United Kingdom . Journal of Applied Econometrics , 2 : 309 – 33 .
   Web of Science ®Google Scholar
• Elliott , G. , Thomas , R. and James , H. S. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Froot , K. A. and Rogoff , K. 1995 . “ Perspectives on PPP and long-run real exchange rates ” . In Handbook of International Economics , Edited by: Grossman , G. and Rogoff , K. Vol. 3 , 1647 – 88 . Amsterdam : North-Holland .
   Google Scholar
• Grilli , V. and Kaminsky , G. 1991 . Nominal exchange rate regimes and the real exchange rate: evidence from the United States and Great Britain, 1885–1986 . Journal of Monetary Economics , 27 : 191 – 212 .
   Web of Science ®Google Scholar
• Kanas , A. 2005 . Regime linkages in the US/UK real exchange rate-real interest differential relation . Journal of International Money and Finance , 24 : 257 – 74 .
   Google Scholar
• Kanas , A. 2006 . Purchasing power parity and Markov regime switching . Journal of Money, Credit and Banking , 38 : 1669 – 87 .
   Web of Science ®Google Scholar
• Leybourne, S. J., Tae-Hwan, K. and Robert A. M. T. (2007) Detecting multiple changes in persistence, forthcoming in Studies in Nonlinear Dynamics and Econometrics, 11
   Google Scholar
• Lopez , C. , Christian , J. M. and David , H. P. 2005a . State of the art unit root tests and purchasing power parity . Journal of Money, Credit and Banking , 37 : 361 – 69 .
   Web of Science ®Google Scholar
• Lopez, C., Christian, J. M. and David, H. P. (2005b) More powerful unit root tests and the PPP puzzle, manuscript
   Google Scholar
• Lothian , J. R. and Taylor , M. P. 1996 . Real exchange rate behavior: the recent float from the perspective of the past two centuries . Journal of Political Economy , 104 : 488 – 509 .
   Web of Science ®Google Scholar
• Lothian , J. R. and Taylor , M. P. 1997 . Real exchange rate behavior . Journal of International Money and Finance , 16 : 945 – 54 .
   Web of Science ®Google Scholar
• Mussa , M. 1986 . Nominal exchange rate regimes and the behavior of real exchange rates: evidence and implications . Carnegie-Rochester Series on Public Policy , 25 : 117 – 214 .
   Google Scholar
• Papell , D. H. and Prodan , R. 2006 . Additional evidence of long run purchasing power parity with restricted structural change . Journal of Money, Credit and Banking , 38 : 1329 – 49 .
   Web of Science ®Google Scholar
• Rogoff , K. 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 647 – 68 .
   Web of Science ®Google Scholar
• Sabaté , M. , María , D. G. and José , M. S. 2003 . PPP and structural breaks: the peseta-sterling rate, 50 years of a floating regime . Journal of International Money and Finance , 22 : 613 – 27 .
   Web of Science ®Google Scholar
• Shimotsu , K. and Phillips , P. C. B. 2005 . Exact local Whittle estimation of fractional integration . Annals of Statistics , 33 : 1890 – 933 .
   Web of Science ®Google Scholar
• Taylor , A. M. 2002 . A century of purchasing-power parity . Review of Economics and Statistics , 84 : 139 – 50 .
   Web of Science ®Google Scholar
• Taylor , A. M. and Taylor , M. P. 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 : 135 – 58 .
   Web of Science ®Google Scholar
• Taylor , M. P. 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
   Web of Science ®Google Scholar
• Taylor , M. P. 1990 . On unit roots and real exchange rates: empirical evidence and Monte Carlo analysis . Applied Economics , 22 : 1311 – 21 .
   Web of Science ®Google Scholar
• Taylor , M. P. 2003 . Purchasing power parity . Review of International Economics , 11 : 436 – 52 .
   Google Scholar
• Taylor , M. P. 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .
   Google Scholar
• Yoon, G. (2007a) Purchasing power parity and long memory, forthcoming in Applied Economics Letters
   Google Scholar
• Yoon, G. (2007b) Further evidence on purchasing power parity over two centuries with multiple changes in persistence, forthcoming in Applied Economics Letters
   Google Scholar