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dc.contributor.authorHolmes, Mark J.
dc.contributor.authorOtero, Jesús
dc.contributor.authorPanagiotidis, Theodore
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.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.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.relation.isPartOfOpen Economics Reviewen_NZ

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