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Univariate time series behaviour of the real exchange rate: evidence from colonial India

Hasan, Mohammad S (2004) Univariate time series behaviour of the real exchange rate: evidence from colonial India. Economics Letters, 84 (1). pp. 75-80. (doi:10.1016/j.econlet.2003.12.012) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:23580)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL
http://dx.doi.org/10.1016/j.econlet.2003.12.012

Abstract

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.

Item Type: Article
DOI/Identification number: 10.1016/j.econlet.2003.12.012
Uncontrolled keywords: PPP; Real exchange rate; Silver standard; Unit root tests; Mean reversion
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mohammad Hasan
Date Deposited: 18 Jan 2010 14:20 UTC
Last Modified: 16 Nov 2021 10:01 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/23580 (The current URI for this page, for reference purposes)
Hasan, Mohammad S: https://orcid.org/0000-0002-2453-6868
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