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A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies

✍ Scribed by Andy Snell

Book ID
116102273
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
390 KB
Volume
51
Category
Article
ISSN
0165-1765

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## 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 long‐run absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.