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.

引用

页码：54 / 61

页数：8

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