Bayoumi, T. and MacDonald, R. (1999) Deviations of exchange rates from purchasing power parity: a story featuring two monetary unions. IMF Staff Papers, 46(1), pp. 89-102.
Full text not currently available from Enlighten.
Publisher's URL: http://www.imf.org/external/pubs/ft/staffp/1999/03-99/pdf/bayoumi.pdf
Abstract
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean reverting, the intranational rates are not. This is consistent with the view that while nominal shocks may be mean reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | Bayoumi, T., and MacDonald, R. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | IMF Staff Papers |
| Publisher: | International Monetary Fund |
| ISSN: | 1020-7635 |
University Staff: Request a correction | Enlighten Editors: Update this record
Deposit and Record Details
Deposit and Record Details