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Some efficient tests of international real interest rate parity 1

✍ Scribed by Fraser, Patricia; Taylor, Mark P.

Book ID
121509222
Publisher
Taylor and Francis Group
Year
1990
Tongue
English
Weight
529 KB
Volume
22
Category
Article
ISSN
0003-6846

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International real interest rate differe
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
✍ Mark P. Taylor; Lucio Sarno πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 115 KB πŸ‘ 1 views

## 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.