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    題名: How Sure Are We About purchasing power parity (PPP)? Panel Evidence with the Null of Stationary Real Exchange Rates
    作者: Kuo,Biing-Shen;Anne Mikkola
    郭炳伸
    日期: 2001
    上傳時間: 2008-12-03 13:53:43 (UTC+8)
    摘要: 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).
    關聯: Journal of Money Credit and Banking, 33(3), 767-789
    資料類型: article
    DOI 連結: http://dx.doi.org/10.2139/ssrn.229235
    DOI: 10.2139/ssrn.229235
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

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