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dc.contributor.authorHolmes, Mark J.
dc.date.accessioned2009-02-03T02:07:48Z
dc.date.available2009-02-03T02:07:48Z
dc.date.issued2008
dc.identifier.citationHolmes, M. (2008). Real exchange rate stationarity in Latin America and relative purchasing power parity: A regime switching approach. Open Economies Review, 19(2), 261-275.en
dc.identifier.urihttps://hdl.handle.net/10289/1986
dc.description.abstractThis paper tests for long-run purchasing power (PPP) among a sample of six Latin American economies. The key contribution of this paper is in terms of the econometric methodology where non-stationarity of the real exchange rate is tested within a Markov regime-switching framework. In contrast to existing studies, this paper defines two new concepts of PPP where one allows for the possibility that real exchange behaviour either switches between stationary and non-stationary regimes (partial PPP), or switches between stationary regimes characterised by differing degrees of persistence (varied PPP). Whereas standard univariate unit root testing suggests that Latin American real exchange rates are generally non-stationary, employment of the regime-switching methodology indicates that most of the sample is characterised by the existence of two distinct stationary regimes. Further analysis indicates that the high rates of inflation and exchange rate volatility experienced in Latin American have given some impetus towards facilitating long-run PPP.en
dc.language.isoen
dc.publisherSpringer New Yorken_NZ
dc.relation.urihttp://www.springerlink.com/content/r21881615026x2m2/?p=fb22054fd42545acac89518182c09a5f&pi=7en
dc.subjectLatin Americaen
dc.subjectPPPen
dc.subjectregime-switchingen
dc.subjectstationarityen
dc.subjectunit root testsen
dc.titleReal exchange rate stationarity in Latin America and relative purchasing power parity: A regime switching approachen
dc.typeJournal Articleen
dc.identifier.doi10.1007/s11079-007-9020-1en
dc.relation.isPartOfOpen Economies Reviewen_NZ
pubs.begin-page261en_NZ
pubs.elements-id32901
pubs.end-page275en_NZ
pubs.issue2en_NZ
pubs.volume19en_NZ


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