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Purchasing power parity and Markov regime switching

Kanas, Angelos (2006) Purchasing power parity and Markov regime switching. Journal of Money Credit and Banking, 38 (6). pp. 1669-1687. ISSN 0022-2879. (doi:10.1353/mcb.2006.0083) (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)

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. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1353/mcb.2006.0083

Abstract

We revisit the evidence on PPP in the twentieth century allowing for Markov regime switching in the ADF regression. Using Lopez et al.'s (2005) extension of Taylor's (2002) original data set, our results are: (1) For most countries, there are periods over which the real exchange rate is stationary and PPP holds, and periods over which the real exchange rate is non-stationary and PPP does not hold, namely, regime-dependent stationarity. Thus, real exchange rate stationarity is a stochastic event itself. (2) The probability that the real exchange rate is stationary is less than 50% for most countries. (3) There is evidence of non-stationarity during both the Bretton Woods and the recent float periods for the majority countries. The comparative performance of PPP is slightly better during Bretton Woods than the recent float. Copyright 2006 by The Ohio State University.

Item Type: Article
DOI/Identification number: 10.1353/mcb.2006.0083
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, Greece [Field not mapped to EPrints] JA - J. Money Credit Bank. [Field not mapped to EPrints]
Uncontrolled keywords: PPP, Real exchange rate, Regime switching, Stochastic unit roots
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 12:11 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41137 (The current URI for this page, for reference purposes)
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