A new perspective on the PPP hypothesis
Autor(a) principal: | |
---|---|
Data de Publicação: | 2004 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/801 |
Resumo: | This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis. |
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Kim, SoyoungLima, Luiz Renato Regis de OliveiraEscolas::EPGEFGV2008-05-13T15:34:58Z2008-05-13T15:34:58Z2004-03-010104-8910http://hdl.handle.net/10438/801This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;530Purchasing power parityLocal persistenceLong memoryReal exchange rateMean reversionEconomiaEconomiaPoder aquisitivoAnálise de regressãoA new perspective on the PPP hypothesisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1551.pdfapplication/pdf896427https://repositorio.fgv.br/bitstreams/dba25f09-d792-4c66-bbdb-8657065b9bae/download664119881934de3f8573684d1f88ff28MD51TEXT1551.pdf.txt1551.pdf.txtExtracted texttext/plain56717https://repositorio.fgv.br/bitstreams/ede7629f-21d5-4de9-965f-769920f4cbdd/download113315716d35d5b54804622ec56e2160MD56THUMBNAIL1551.pdf.jpg1551.pdf.jpgGenerated Thumbnailimage/jpeg3172https://repositorio.fgv.br/bitstreams/d532b144-70c4-4997-b989-58f84df8175a/downloadbcdbd82ab7595ee1c30ee05af883a8a2MD5710438/8012023-11-09 21:07:31.562open.accessoai:repositorio.fgv.br:10438/801https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T21:07:31Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
A new perspective on the PPP hypothesis |
title |
A new perspective on the PPP hypothesis |
spellingShingle |
A new perspective on the PPP hypothesis Kim, Soyoung Purchasing power parity Local persistence Long memory Real exchange rate Mean reversion Economia Economia Poder aquisitivo Análise de regressão |
title_short |
A new perspective on the PPP hypothesis |
title_full |
A new perspective on the PPP hypothesis |
title_fullStr |
A new perspective on the PPP hypothesis |
title_full_unstemmed |
A new perspective on the PPP hypothesis |
title_sort |
A new perspective on the PPP hypothesis |
author |
Kim, Soyoung |
author_facet |
Kim, Soyoung Lima, Luiz Renato Regis de Oliveira |
author_role |
author |
author2 |
Lima, Luiz Renato Regis de Oliveira |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Kim, Soyoung Lima, Luiz Renato Regis de Oliveira |
dc.subject.eng.fl_str_mv |
Purchasing power parity Local persistence Long memory Real exchange rate Mean reversion |
topic |
Purchasing power parity Local persistence Long memory Real exchange rate Mean reversion Economia Economia Poder aquisitivo Análise de regressão |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia Poder aquisitivo Análise de regressão |
description |
This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis. |
publishDate |
2004 |
dc.date.issued.fl_str_mv |
2004-03-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:34:58Z |
dc.date.available.fl_str_mv |
2008-05-13T15:34:58Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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publishedVersion |
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http://hdl.handle.net/10438/801 |
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0104-8910 |
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0104-8910 |
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http://hdl.handle.net/10438/801 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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Ensaios Econômicos;530 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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