The great appreciation, the great depreciation, and the purchasing power parity hypothesis

Journal of International Economics

Volumn 57, Issue 1, 2002, Pages 51-82

  Papell, David H ^a  

^a UNIVERSITY OF HOUSTON   (United States)

Author keywords

Panel unit root tests; Purchasing power parity; Structural change

Indexed keywords

CAPITAL MARKET; HYPOTHESIS TESTING; PURCHASING POWER PARITY; REAL EXCHANGE RATE;

EID: 0036272619     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(01)00145-3     Document Type: Article

References (46)

1. Purchasing power parity in the long run
2. Exactly median unbiased estimation of first order autoregressive/unit root models
3. Likelihood ratio tests for multiple structural changes
4. An assessment of the evidence on purchasing power parity
5. Misleading inferences from panel unit root tests with an illustration from purchasing power parity
6. Pitfalls and opportunities: What macroeconomists should know about unit roots
7. On cross-country differences in the persistence of real exchange rates
8. Expectations and exchange rate dynamics
9. Real exchange rates and purchasing power parity
10. Efficient tests for an autoregressive unit root
11. Long-run ppp may not hold after all
12. Long swings in the dollar: Are they in the data and do markets know it?
13. Intranational, intracontinental, and intraplanetary PPP
14. Chartists, fundamentalists, and trading in the foreign exchange market
15. A panel project on purchasing power parity: Mean reversion within and between countries
16. Testing for a unit root in time series with pretest data based model selection
17. Quasi purchasing power parity
18. Mean reversion in real exchange rates: Evidence and implications for forecasting
19. Unit root tests in panel data: Asymptotic and finite-sample properties
20. Some new stylized facts of floating exchange rates
21. Real exchange rate behavior
22. Multiple trend breaks and the unit root hypothesis
23. A comparative study of unit root tests with panel data and a new simple test
24. Unit root tests in arma models with data dependent methods for the selection of the truncation lag
25. Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher's commodity points revisited
26. The overvaluation of purchasing power parity
27. Market frictions and real exchange rates
28. Purchasing power parity and unit root tests using panel data
29. Searching for stationarity: Purchasing power parity under the current float
30. Increasing evidence of purchasing power parity over the current float
31. The choice of numeraire currency in panel tests of purchasing power parity
32. The great crash, the oil price shock, and the unit root hypothesis
33. Further evidence on breaking trend functions in macroeconomic variables
34. Nonstationarity and level shifts with an application to purchasing power parity
35. The purchasing power parity puzzle
36. Exchange rates, the current account, and monetary policy
37. Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals
38. Is purchasing power parity overvalued?
39. Are real exchange rates nonstationary? Evidence from a panel-data test
40. Sources of nonmonotonic power when testing for a shift in the trend of a dynamic time series