Show simple item record  

dc.contributor.authorHolmes, Mark J.
dc.contributor.authorOtero, Jesús
dc.contributor.authorPanagiotidis, Theodore
dc.date.accessioned2012-11-01T23:31:11Z
dc.date.available2012-11-01T23:31:11Z
dc.date.copyright2012-11-09
dc.date.issued2012
dc.identifier.citationHolmes, M. J., Otero, J., & Panagiotidis, T. (2012). PPP in OECD countries: An analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks. Open Economies Review, 23(5), 767-783.en_NZ
dc.identifier.issn0923-7992
dc.identifier.urihttps://hdl.handle.net/10289/6789
dc.description.abstractThe stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of 26 member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of cross-sectional dependence among the countries in the panel; and (iii) the identification of potential structural breaks that might have occurred at different points in time. To address these concerns, we employ a recent test that examines the time series properties of the data within a panel framework, namely the Hadri and Rao (Oxford Bulletin of Economics and Statistics 70: 245-269, 2008) panel stationarity test. The real exchange rates of the 26 OECD countries are found to be stationary when considered as a panel, but only after allowing for endogenously-determined structural breaks and cross section dependence. We also find that once these structural breaks are removed from the underlying series, the half-life of shocks to the real exchange rate is much shorter than has been calculated in earlier studies.en_NZ
dc.language.isoen
dc.publisherSpringer-Verlagen_NZ
dc.relation.ispartofOpen Economies Review
dc.subjectheterogeneous dynamic panelsen_NZ
dc.subjectmean reversionen_NZ
dc.subjectpanel stationarity testen_NZ
dc.subjectpurchasing power parityen_NZ
dc.titlePPP in OECD countries: An analysis of real exchange rate stationarity, cross-sectional dependency and structural breaksen_NZ
dc.typeJournal Articleen_NZ
dc.identifier.doi10.1007/s11079-011-9234-0en_NZ
dc.relation.isPartOfOpen Economics Reviewen_NZ
pubs.begin-page767en_NZ
pubs.elements-id4717
pubs.end-page783en_NZ
pubs.issue5en_NZ
pubs.volume23en_NZ


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record