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PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks
dc.creator | Holmes, Mark J. | spa |
dc.creator | Otero Cardona, Jesús Gilberto | |
dc.creator | Panagiotidis, Theodore | spa |
dc.date.accessioned | 2020-05-25T23:57:43Z | |
dc.date.available | 2020-05-25T23:57:43Z | |
dc.date.created | 2012 | spa |
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. | eng |
dc.format.mimetype | application/pdf | |
dc.identifier.doi | https://doi.org/10.1007/s11079-011-9234-0 | |
dc.identifier.issn | 09237992 | |
dc.identifier.issn | 1573708X | |
dc.identifier.uri | https://repository.urosario.edu.co/handle/10336/22729 | |
dc.language.iso | eng | spa |
dc.relation.citationEndPage | 783 | |
dc.relation.citationIssue | No. 5 | |
dc.relation.citationStartPage | 767 | |
dc.relation.citationTitle | Open Economies Review | |
dc.relation.citationVolume | Vol. 23 | |
dc.relation.ispartof | Open Economies Review, ISSN:09237992, 1573708X, Vol.23, No.5 (2012); pp. 767-783 | spa |
dc.relation.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84867514066&doi=10.1007%2fs11079-011-9234-0&partnerID=40&md5=8ca5b41622c39b4f4eac4eb58e38b543 | spa |
dc.rights.accesRights | info:eu-repo/semantics/openAccess | |
dc.rights.acceso | Abierto (Texto Completo) | spa |
dc.source.instname | instname:Universidad del Rosario | spa |
dc.source.reponame | reponame:Repositorio Institucional EdocUR | spa |
dc.subject.keyword | Oecd | spa |
dc.subject.keyword | Purchasing power parity | spa |
dc.subject.keyword | Real exchange rate | spa |
dc.subject.keyword | Time series analysis | spa |
dc.subject.keyword | Heterogeneous dynamic panels | spa |
dc.subject.keyword | Mean reversion | spa |
dc.subject.keyword | Panel stationarity test | spa |
dc.subject.keyword | Purchasing power parity | spa |
dc.title | PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks | spa |
dc.type | article | eng |
dc.type.hasVersion | info:eu-repo/semantics/publishedVersion | |
dc.type.spa | Artículo | spa |
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