Re-examining the evidence for long-run purchasing power parity

被引：11
|
作者：
Olekalns, N [1 ]
Wilkins, N
机构：
[1] Univ Melbourne, Dept Econ, Parkville, Vic 3052, Australia
[2] Univ Melbourne, Dept Econ, Clayton, Vic 3168, Australia
[3] Monash Univ, Dept Econometr & Business Stat, Clayton, Vic 3168, Australia
来源：
ECONOMIC RECORD | 1998年 / 74卷 / 224期
关键词：
D O I：
10.1111/j.1475-4932.1998.tb01903.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Corbae and Ouliaris (1991) examined Australia's long-nm real exchange rate and concluded that because the data follow a random walk, purchasing power parity does not hold as a long-run equilibrium relation. We re-examine their data by calculating non-parametric measures of persistence and estimating functionally integrated ARMA models. We find that shocks to the real exchange rate have a finite life. This result is consistent with long-run purchasing power parity.
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页码：54 / 61
页数：8
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