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A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding

✍ Scribed by Pierdzioch, Christian; Rülke, Jan-Christoph; Stadtmann, Georg

Book ID
119879967
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
419 KB
Volume
20
Category
Article
ISSN
0965-7576

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## Abstract We examine the purchasing power parity (PPP) hypothesis using a unique panel of monthly data on black market exchange rates for 34 emerging market economies. We apply a large number of recent heterogeneous panel unit root and cointegration tests. Panel unit root tests reject mean revers