Hasan, Mohammad S (2004) Univariate time series behaviour of the real exchange rate: evidence from colonial India. Economics Letters , 84 (1). pp. 75-80.
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This paper empirically examines the long-run behaviour of the real exchange rate in colonial India between the British pound and the Indian rupee using a battery of unit root tests. The unit root tests based on the KPSS test, the GPH fractional integration test, and the non-linear KSS test indicate that the real exchange rate series is stationary and mean-reverting, which tends to support the validity of the purchasing power parity (PPP) hypothesis in the long run.
|Uncontrolled keywords:||PPP; Real exchange rate; Silver standard; Unit root tests; Mean reversion|
|Subjects:||H Social Sciences|
|Divisions:||Faculties > Social Sciences > Kent Business School > Accounting and Finance|
|Depositing User:||Rebecca Stevenson|
|Date Deposited:||18 Jan 2010 14:20|
|Last Modified:||18 Jan 2010 14:21|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/23580 (The current URI for this page, for reference purposes)|
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