Real exchange rate stationarity in Latin America and relative purchasing power parity: A regime switching approach

Open Economies Review

Volumn 19, Issue 2, 2008, Pages 261-275

  Holmes, Mark J ^a  

^a UNIVERSITY OF WAIKATO   (New Zealand)

Author keywords

Latin America; PPP; Regime switching; Stationarity; Unit root tests

Indexed keywords

ECONOMETRICS; INFLATION; MARKOV CHAIN; METHODOLOGY; PURCHASING POWER PARITY; REAL EXCHANGE RATE;

LATIN AMERICA;

EID: 39749131058     PISSN: 09237992     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11079-007-9020-1     Document Type: Article

References (28)

1. Alba JD, Papell DH (2007) Purchasing power parity and country characteristics: Evidence from panel data tests. J Dev Econ 83(1):240-251
2. Alves D, Cati R, Fava V (2001) Purchasing power parity in Brazil: A test for fractional integration. Appl Econ 33:1175-1185
3. Bahmani-Oskooee M (1993) Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs' experience with its absolute formulation. World Dev 21:1023-1031
4. Bahmani-Oskooee M (1995) Real and nominal effective exchange rates for 22 LDCs. Appl Econ 27:591-604
5. Balassa B (1964) The purchasing power doctrine: A reappraisal. J Polit Econ 72:584-596
6. Breitung J, Candelon B (2005) Purchasing power parity during currency crises: A panel unit root test under structural breaks. Weltwirtsch Arch 141:124-140
7. Calderon C, Duncan R (2003) Purchasing power parity in an emerging market economy: A long-span study for Chile. Estud Econ 30:103-132
8. Campa J (2001) Exchange rate crises and bilateral trade flows in Latin America. IESE Business School, mimeograph
9. Cheung Y-W, Lai K (2000) On cross-country differences in the persistence of real exchange rates. J Int Econ 50:375-397
10. Conejo C, Shields MP (1993) Relative PPP and the long-run terms of trade for 5 Latin-American countries: A cointegration approach. Appl Econ 25:1511-1515
11. Copeland LS (2000) Exchange rates and international finance. Addison-Wesley, New York
12. Crownover C, Pippenger J, Steigerwald DC (1996) Testing for absolute purchasing power parity. J Int Money Financ 15:783-796
13. Davies RB (1987) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74:33-43
14. Diamandis PF (2003) Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America. Int Rev Econ Finance 12:89-110
15. Dornbusch R (1980) Exchange rate economics: Where do we Stand? Brookings Pap Econ Act 1:143-185
16. Frenkel JA (1978) Purchasing power parity: Doctrinal perspective and evidence from the 1920s. J Int Econ 8:169-191
17. Frenkel JA (1981) The collapse of purchasing power parities during the 1970s. Eur Econ Rev 16:145-165
18. Hakkio KC (1984) A re-examination of purchasing power parity: A multi-country and multi-period study. J Int Econ 17:265-277
19. Hamilton JD (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57:357-384
20. Holmes MJ (2001) New evidence on real exchange rate stationarity and PPP in less developed countries. J Macroecon 23:601-615
21. Hoque A (1995) A test of the purchasing power parity hypothesis. Appl Econ 27:311-315
22. Johansen S (1988) Statistical analysis of cointegrating vectors. J Econ Dyn Control 12:231-254
23. Kanas A, Genius M (2005) Regime (Non)stationarity in the US/UK real exchange rate. Econ Lett 87:407-413
24. Liu P (1992) Purchasing power parity in Latin America: A cointegration analysis. Weltwirtsch Arch 128:662-680
25. Mahdavi S, Zhou S (1994) Purchasing power parity in high inflation countries: Further evidence. J Macroecon 16:403-422
26. McNown R, Wallace M (1989) National price levels, purchasing power parity, and cointegration: A test of four high inflation economies. J Int Money Financ 8:533-545
27. Papell DH (2002) The great appreciation, the great depreciation, and the purchasing power parity. J Int Econ 57:51-82
28. Zumaquero A, Urea RP (2002) Purchasing power parity: Error correction models and structural breaks. Open Econ Rev 13:5-26