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dc.creatorHolmes, Mark J. 
dc.creatorOtero, Jesus 
dc.creatorPanagiotidis, Theodore 
dc.date.accessioned2020-05-25T23:57:43Z
dc.date.available2020-05-25T23:57:43Z
dc.date.created2012
dc.identifier.issn09237992
dc.identifier.issn1573708X
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22729
dc.description.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. © 2011 Springer Science+Business Media, LLC."
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.relation.ispartofOpen Economies Review, ISSN:09237992, 1573708X, Vol.23, No.5 (2012); pp. 767-783
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84867514066&doi=10.1007%2fs11079-011-9234-0&partnerID=40&md5=8ca5b41622c39b4f4eac4eb58e38b543
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.title"PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks"
dc.typearticle
dc.subject.keywordOecd
dc.subject.keywordPurchasing power parity
dc.subject.keywordReal exchange rate
dc.subject.keywordTime series analysis
dc.subject.keywordHeterogeneous dynamic panels
dc.subject.keywordMean reversion
dc.subject.keywordPanel stationarity test
dc.subject.keywordPurchasing power parity
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaArtículo
dc.rights.accesoAbierto (Texto Completo)
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.identifier.doihttps://doi.org/10.1007/s11079-011-9234-0
dc.relation.citationEndPage783
dc.relation.citationIssueNo. 5
dc.relation.citationStartPage767
dc.relation.citationTitleOpen Economies Review
dc.relation.citationVolumeVol. 23


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