The trend behavior of real exchange rates: Evidence from OECD countries

被引：8
|
作者：
Wu, YG
机构：
来源：
WELTWIRTSCHAFTLICHES ARCHIV-REVIEW OF WORLD ECONOMICS | 1997年 / 133卷 / 02期
关键词：
D O I：
10.1007/BF02707464
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the validity of purchasing power parity (PPP) under the current float using real effective exchange rates of eleven OECD countries. The author employs a test which allows for a one-time change in the intercept and/or in the slope of the trend function. The timing of the structural break is treated as unknown and is endogenously searched from the data. It is found that for a vast majority of countries, the real exchange rate can be characterized as a stationary process with a broken trend. The paper provides support for PPP in the long run.
引用
收藏
页码：282 / 296
页数：15
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