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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/12488

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12488

Title:	How Sure Are We About purchasing power parity (PPP)? Panel Evidence with the Null of Stationary Real Exchange Rates
Authors:	Kuo,Biing-Shen;Anne Mikkola 郭炳伸
Date:	2001
Issue Date:	2008-12-03 13:53:43 (UTC+8)
Abstract:	For purchasing power parity (PPP) to hold in the long run, real exchange rates must be stationary. The aim of this article is to judge the extent to which PPP holding can be thought of, given the problems in statistical decision making that are inherent in testing. 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. The 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).
Relation:	Journal of Money Credit and Banking, 33(3), 767-789
Data Type:	article
DOI 連結:	http://dx.doi.org/10.2139/ssrn.229235
DOI:	10.2139/ssrn.229235
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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