English, Article, Journal or magazine article edition: Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence Syed A. Basher; Josep Lluís Carrion-i-Silvestre

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Bookmark: http://trove.nla.gov.au/version/36150
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence
Author
  • Syed A. Basher
  • Josep Lluís Carrion-i-Silvestre
Physical Description
  • preprint
Notes
  • This paper re-examines the null of stationary of real exchange rate for a panel of seventeen OECD developed countries during the post-Bretton Woods era. Our analysis simultaneously considers both the presence of cross-section dependence and multiple structural breaks that have not received much attention in previous panel methods of long-run PPP. Empirical results indicate that there is little evidence in favor of PPP hypothesis when the analysis does not account for structural breaks. This conclusion is reversed when structural breaks are considered in computation of the panel statistics. We also compute point estimates of half-life separately for idiosyncratic and common factor components and find that it is always below one year.
  • Purchasing power parity, Half-lives, Panel unit roottests, Multiple structural breaks, Cross-section dependence.
  • RePEc:ira:wpaper:200710
Language
  • English
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