Arbeitspapier
The purchasing power parity puzzle: An update
We show that the Purchasing Power Parity (PPP) puzzle, whereby the half-life of the shock to the real exchange rate is long and unjustifiable by monetary and financial shocks, is a result of specification and estimation issues. We provide an alternative specification for PPP and show that the half-life of the shock could be as short as 6.8 months and as long as 2 years, which is considerably shorter than what have been reported in the literature.
- Sprache
-
Englisch
- Erschienen in
-
Series: EERI Research Paper Series ; No. 05/2018
- Klassifikation
-
Wirtschaft
Estimation: General
Methodological Issues: General
Foreign Exchange
- Thema
-
PPP
unit root
half-life of shocks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Razzak, Weshah A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Economics and Econometrics Research Institute (EERI)
- (wo)
-
Brussels
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:47 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Razzak, Weshah A.
- Economics and Econometrics Research Institute (EERI)
Entstanden
- 2018
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