112
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

Are real exchange rates mean reverting? Evidence from a panel of OECD countries

&
Pages 23-27 | Published online: 16 Jan 2009

References

  • Alba , J. D. and Park , D. 2003 . Purchasing power parity in developing countries: multi-period evidence under the current float . World Development , 31 : 2049 – 60 .
  • 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 .
  • Breitung , J. 2000 . “ The local power of some unit root tests for panel data ” . In Advances in Econometrics , Edited by: Baltagi , B. Vol. 15 , 161 – 78 . Amsterdam : JAI Press .
  • Chiu , R. L. 2002 . Testing the purchasing power parity in panel data . International Review of Economics and Finance , 11 : 349 – 62 .
  • Choi , I. 2001 . Unit root tests for panel data . Journal of International Money and Finance , 20 : 249 – 72 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Fisher , R. A. 1932 . Statistical Methods for Research Workers , 4th , Edinburgh : Oliver & Boyd .
  • Flôres , R. , Jorion , P. and Preumont , P. Y. 1999 . Multivariate unit root tests of the PPP hypothesis . Journal of Empirical Finance , 6 : 335 – 53 .
  • Froot , K. 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 .
  • Heimonen , K. 1999 . Stationarity of the european real exchange rates–evidence from panel data . Applied Economics , 31 : 673 – 7 .
  • Im , K. S. , Pesaran , M. H. and Shin , Y. 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
  • Koedijk , K. G. , Schotman , P. C. and van Dijk , M. A. 1998 . The re-emergence of PPP in the 1990s . Journal of International Money and Finance , 17 : 51 – 61 .
  • Kuo , B. S. and Mikkola , A. 2001 . How sure are we about purchasing power parity? Panel evidence with the null of stationary real exchange rates . Journal of Money, Credit and Banking , 33 : 767 – 89 .
  • Levin , A. , Lin , C. F. and Chu , C. 2002 . Unit root tests in panel data: asymptotic and finite-sample properties . Journal of Econometrics , 108 : 1 – 24 .
  • Lothian , J. R. 1997 . Multi-country evidence on the behavior of purchasing power parity under the current float . Journal of International Money and Finance , 16 : 19 – 35 .
  • 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 .
  • MacDonald , R. 1996 . Panel unit root tests and and real exchange rates . Economics Letters , 50 : 7 – 11 .
  • MacDonald , G. , Allen , D. and Cruickshank , S. 2002 . Purchasing power parity – evidence from a new panel test . Applied Economics , 34 : 1319 – 24 .
  • Maddala , G. S. and Wu , S. 1999 . A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 52 .
  • McCoskey , S. and Seldon , T. 1998 . Health care expenditures and GDP: panel data unit root test results . Journal of Health Economics , 17 : 369 – 76 .
  • O'Connell , P. G. J. 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 : 1 – 19 .
  • Oh , K. Y. 1996 . Purchasing power parity and unit root tests using panel data . Journal of International Money and Finance , 15 : 405 – 18 .
  • Papell , D. H. 1997 . Searching for stationarity: purchasing power parity under the current float . Journal of International Economics , 43 : 313 – 32 .
  • QMS . April 2004 . EViews 5 User's Guide April ,
  • Rogoff , K. 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 647 – 68 .
  • Saatcioglu , C. , Korap , L. and Volkan , A. G. 2007 . Modeling purchasing power parity using co-integration: evidence from Turkey . Journal of American Academy of Business, Cambridge , 11 : 51 – 7 .
  • Sarno , L. and Taylor , M. P. 2002 . Purchasing power parity and the real exchange rate . IMF Staff Papers , 49 : 65 – 105 .
  • Taylor , M. P. 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
  • Taylor , A. M. International capital mobility in history: purchasing-power parity in the long run . NBER Working Paper No. 5742 . 1996 .
  • Taylor , M. P. and Sarno , L. 1998 . The behavior of real exchange rates during the post-Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
  • Taylor , A. M. potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean reversion tests of the law of one price . NBER Working Paper No. 7577 . 2000 .
  • Taylor , A. M. and Taylor , M. P. The purchasing power parity debate . NBER Working Paper No. 10607 . 2004 .
  • Taylor , M. P. 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .
  • Wu , Y. 1996 . Are real exchange rates nonstationary? Evidence from a panel-data test . Journal of Money, Credit and Banking , 28 : 54 – 63 .
  • Wu , J. L. and Wu , S. 2001 . Is purchasing power parity overvalued? . Journal of Money, Credit and Banking , 33 : 804 – 12 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.