NDLI: PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks

Content Provider	Springer Nature Link
Author	Holmes, Mark J. Otero, Jesús Panagiotidis, Theodore
Copyright Year	2011
Abstract	The stationarity of OECD real exchange rates over the period 1972–2008 is tested using a panel of 26 member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of cross-sectional dependence among the countries in the panel; and (iii) the identification of potential structural breaks that might have occurred at different points in time. To address these concerns, we employ a recent test that examines the time series properties of the data within a panel framework, namely the Hadri and Rao (Oxford Bulletin of Economics and Statistics 70: 245–269, 2008) panel stationarity test. The real exchange rates of the 26 OECD countries are found to be stationary when considered as a panel, but only after allowing for endogenously-determined structural breaks and cross section dependence. We also find that once these structural breaks are removed from the underlying series, the half-life of shocks to the real exchange rate is much shorter than has been calculated in earlier studies.
Ending Page	783
Page Count	17
Starting Page	767
File Format	PDF
ISSN	09237992
e-ISSN	1573708X
Journal	Open Economies Review
Issue Number	5
Volume Number	23
Language	English
Publisher	Springer US
Publisher Date	2011-12-09
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Economic Policy Foreign Exchange Mean reversion Development Economics International Monetary Arrangements and Institutions Heterogeneous dynamic panels Macroeconomics/Monetary Economics Panel stationarity test Financial Economics International Economics International Financial Markets European Integration Purchasing power parity
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks

Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests

Purchasing power parity and the European single currency: some new evidence

Assessing convergence to purchasing power parity: A panel study for ten OECD countries

Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses

Cointegration tests of purchasing power parity

Inter-Temporal Purchasing Power Parity

Pegxit Pressure: Evidence from the Classical Gold Standard

Is reversion to PPP in euro exchange rates non-linear?

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks

Similar Documents

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks

Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests

Purchasing power parity and the European single currency: some new evidence

Assessing convergence to purchasing power parity: A panel study for ten OECD countries

Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses

Cointegration tests of purchasing power parity

Inter-Temporal Purchasing Power Parity

Pegxit Pressure: Evidence from the Classical Gold Standard

Is reversion to PPP in euro exchange rates non-linear?

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks