English, Article, Journal or magazine article edition: Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float? Christopher F. Baum; John T. Barkoulas; Mustafa Caglayan

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Bookmark: http://trove.nla.gov.au/version/73089
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?
Author
  • Christopher F. Baum
  • John T. Barkoulas
  • Mustafa Caglayan
Physical Description
  • preprint
Notes
  • This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17 countries and WPI-based rates for 12 countries, demonstrate that the unit-root hypothesis is robust against both fractional alternatives and structural breaks. This evidence suggests rejection of the doctrine of absolute long-run purchasing power parity during the post-Bretton Woods era.
  • purchasing power parity, long memory, structural breaks
  • RePEc:boc:bocoec:380
Language
  • English
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