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|z 9781451859966
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|a McDermott, C.
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|a An Unbiased Appraisal of Purchasing Power Parity /
|c C. McDermott, Paul Cashin.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2001.
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|a 1 online resource (35 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we follow Andrews (1993) and use median-unbiased estimators of the half-life of deviations from parity as a preferred measure of the persistence of real exchange rate shocks. We study this issue using real effective exchange rate (REER) data for 22 industrial countries in the post-Bretton Woods period. Three methods of bias correction are implemented, which yield cross-country averages of half-lives of deviations from parity ranging between 4 to 15 years, with the REER of several countries displaying permanent deviations from parity.
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|a Mode of access: Internet
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|a Cashin, Paul.
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|a IMF Working Papers; Working Paper ;
|v No. 2001/196
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2001/196/001.2001.issue-196-en.xml
|z IMF e-Library
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