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IR07-010_Basher-Carrion.pdf (336.32 KB)

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Working paper

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2007

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cc-by-nc-nd, (c) Basher et al., 2007
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/63552

Another Look at the Null of Stationary Real Exchange Rates: Panel Data with Structural Breaks and Cross-section Dependence

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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.

Subject

Anàlisi de sèries temporals, Anàlisi de dades de panel, Tipus d'interès, Models economètrics

Subject (English)

Time-series analysis, Panel analysis, Interest rates, Econometric models

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
Documents de treball / Informes (Econometria, Estadística i Economia Aplicada)

Citation

BASHER, Syed Abul and CARRIÓN I SILVESTRE, Josep Lluís. Another Look at the Null of Stationary Real Exchange Rates: Panel Data with Structural Breaks and Cross-section Dependence. IREA – Working Papers. 2007. Vol.  IR07/10. ISSN 2014-1254. [consulted: 16 of August of 2026]. Available at: https://hdl.handle.net/2445/63552

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