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Further Evidence On Mean Reversion In The Australian Exchange Rate

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  • Olivier Darné
  • Jean‐François Hoarau

Abstract

In this paper we re‐examine the purchasing power parity (PPP) in Australia for the period February 1970 to April 2005 using an alternative method relative to the previous studies. We underlined large shocks due to depreciations that affected the Australian exchange rate, using outlier methodology. Once we adjusted the data of these outliers that had large, but either temporary or permanent effects on the series, our results show that there is no tendency for PPP in Australia to hold in the long run during this period.

Suggested Citation

  • Olivier Darné & Jean‐François Hoarau, 2007. "Further Evidence On Mean Reversion In The Australian Exchange Rate," Bulletin of Economic Research, Wiley Blackwell, vol. 59(4), pages 383-395, October.
    • Handle: RePEc:bla:buecrs:v:59:y:2007:i:4:p:383-395
    DOI: 10.1111/j.0307-3378.2007.00260.x
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    2. Jiranyakul, Komain & Batavia, Bala, 2009. "Does Purchasing Power Parity hold in Thailand?," MPRA Paper 47032, University Library of Munich, Germany.

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