A reappraisal of parity reversion for UK real exchange rates
β Scribed by Crato, Nuno; Rothman, Philip
- Book ID
- 121713943
- Publisher
- Taylor and Francis Group
- Year
- 1994
- Tongue
- English
- Weight
- 86 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1350-4851
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shape
## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the longβrun absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.