All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

Hyeongwoo Kim and Young-Kyu Moh
''On the Importance of Span of the Data in Univariate Estimation of the Persistence in Real Exchange Rates''
( 2009, Vol. 29 No.1 )
This paper revisits the empirical evidence on real exchange rates' convergence to their purchasing power parity (PPP) levels. In their recent empirical study, Murray and Papell (2002) claim that the univariate approach provides no useful information on the size of the half-lives of real exchange rate deviations from PPP. However, we obtain finite confidence intervals for the half-life for a maximum of 8 out of 16 countries by applying the nonparametric grid bootstrap technique of Hansen (1999) to over a century of real exchange rates data for 16 developed countries relative to the US dollar. Our finding sharply contrasts to that of Murray and Papell (2002) with the post Bretton Woods real exchange rates. Our finding suggests that span of the data, not the estimation methods, matters more for obtaining useful information on long-run propositions such as PPP.
Keywords: Median Unbiased Estimator
JEL: F3 - International Finance: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Dec 22 2008 Manuscript Accepted : Feb 19 2009

  This abstract has been downloaded 683 times                The Full PDF of this paper has been downloaded 96927 times