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The persistence of real interest differentials: A Kalman filtering approach

✍ Scribed by Stefano Cavaglia

Book ID
113312035
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
884 KB
Volume
29
Category
Article
ISSN
0304-3932

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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.