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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
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)

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