IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v23y2013i17p1399-1406.html
   My bibliography  Save this article

Testing purchasing power parity in a DFA rolling Hurst framework: the case of 23 OECD countries

Author

Listed:
  • Periklis Gogas
  • Theophilos Papadimitriou
  • Georgios Sarantitis

Abstract

We test the validity of the Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent, which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that we employ the Detrended Fluctuation Analysis (DFA) for the estimation of Hurst on Real Exchange Rates both in the full sample and in rolling windows of three different sizes in an attempt to identify possible trends, breaks and the evolution of Hurst through time.

Suggested Citation

  • Periklis Gogas & Theophilos Papadimitriou & Georgios Sarantitis, 2013. "Testing purchasing power parity in a DFA rolling Hurst framework: the case of 23 OECD countries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(17), pages 1399-1406, September.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1399-1406
    DOI: 10.1080/09603107.2013.829196
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2013.829196
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2013.829196?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Emmanuel Numapau Gyamfi & Adam Anokye Mohammed, 2017. "Validity of Purchasing Power Parity in BRICS under a DFA Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(1), pages 17-28, February.
    2. Alia Afzal & Philipp Sibbertsen, 2023. "Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates," Open Economies Review, Springer, vol. 34(4), pages 789-811, September.
    3. E. N. Gyamfi & E. F. Appiah, 2019. "Further evidence on the validity of purchasing power parity in selected African countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 330-343, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1399-1406. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.