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TESTING FOR PURCHASING POWER PARITY AND UNCOVERED INTEREST PARITY IN THE PRESENCE OF MONETARY AND EXCHANGE RATE REGIME SHIFTS

✍ Scribed by Miguel Lacerda; Johannes W. Fedderke; Linda M. Haines

Book ID
118086083
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
422 KB
Volume
78
Category
Article
ISSN
0038-2280

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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.