## Abstract We examine the purchasing power parity (PPP) hypothesis using a unique panel of monthly data on black market exchange rates for 34 emerging market economies. We apply a large number of recent heterogeneous panel unit root and cointegration tests. Panel unit root tests reject mean revers
THE PURCHASING POWER PARITY PERSISTENCE PUZZLE: EVIDENCE FROM BLACK MARKET REAL EXCHANGE RATES
β Scribed by MARIO CERRATO; NEIL KELLARD; NICHOLAS SARANTIS
- Book ID
- 111042724
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 117 KB
- Volume
- 76
- Category
- Article
- ISSN
- 1463-6786
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π SIMILAR VOLUMES
The behaviour of real exchange rates (relative to the US dollar) is examined using monthly data obtained from the black markets for foreign exchange of eight Asian developing countries. The data span is 31 years. The black market real exchange rates do not show excess volatility during the recent Β―o
## 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.