Purchasing power parity theory and the monetary approach to the balance of payments
β Scribed by F. de Roos
- Publisher
- Springer
- Year
- 1981
- Tongue
- English
- Weight
- 1003 KB
- Volume
- 129
- Category
- Article
- ISSN
- 0013-063X
No coin nor oath required. For personal study only.
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## Abstract Recent research has found that trendβbreak unit root tests derived from univariate linear models do not support the hypothesis of longβrun purchasing power parity (PPP) for US dollar real exchange rates. In this paper univariate smooth transition models are utilized to develop unit root
## 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.