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Pré-Publication, Document De Travail Année : 2011

Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?

Résumé

This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the U.S. Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three-step testing procedure based on recently introduced econometric techniques, in order to assess the mean-reverting properties of the RER and to address the question of whether real exchange rates follow a non linear process or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study are not mean-reverting. Secondly, the nonlinear ESTAR type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties.
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Dates et versions

halshs-00559170 , version 1 (25-01-2011)

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  • HAL Id : halshs-00559170 , version 1

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Marcel Aloy, Mohamed Boutahar, Karine Gente, Anne Peguin-Feissolle. Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?. 2011. ⟨halshs-00559170⟩
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