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Title: | Another Look at the Null of Stationary Real Exchange Rates: Panel Data with Structural Breaks and Cross-section Dependence |
Author: | Basher, Syed Abul Carrión i Silvestre, Josep Lluís |
Keywords: | Anàlisi de sèries temporals Anàlisi de dades de panel Tipus d'interès Models economètrics Time-series analysis Panel analysis Interest rates Econometric models |
Issue Date: | 2007 |
Publisher: | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública |
Series/Report no: | [WP E-IR07/10] |
Abstract: | This paper re-examines the null of stationary of real exchange rate for a panel of seventeen OECD developed countries during the post-Bretton Woods era. Our analysis simultaneously considers both the presence of cross-section dependence and multiple structural breaks that have not received much attention in previous panel methods of long-run PPP. Empirical results indicate that there is little evidence in favor of PPP hypothesis when the analysis does not account for structural breaks. This conclusion is reversed when structural breaks are considered in computation of the panel statistics. We also compute point estimates of half-life separately for idiosyncratic and common factor components and find that it is always below one year. |
It is part of: | IREA – Working Papers, 2007, IR07/10 |
URI: | http://hdl.handle.net/2445/63552 |
ISSN: | 2014-1254 |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) Documents de treball / Informes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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IR07-010_Basher-Carrion.pdf | 336.32 kB | Adobe PDF | View/Open |
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