IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v07y2004i01ns0219024904002311.html
   My bibliography  Save this article

Long Memory And Persistence In Dollar-Based Real Exchange Rates

Author

Listed:
  • FOTIOS SIOKIS

    (Economic Research Division, ALPHA BANK and Department of Economics, University of Patras, Greece)

  • CHRIS CHRISTODOULOU

    (Department of Economics, Cyprus College, Cyprus)

Abstract

A common view among recent studies on purchasing power parity is that the post-Bretton Woods period is far too short to reveal any significant parity reversion in individual series of real exchange rates. The answer depends on the statistical techniques being used. This study uses alternative econometric time-series technique, which does not require long sample sizes, and reports strong evidence of mean reversion in dollar-based real exchange rates. Further analysis of the estimated impulse responses indicates that the persistence in real exchange rate changes is difficult to detect because the short and long run dynamics interact in such a way that the impulse response weights exhibit a rapid decay.

Suggested Citation

  • Fotios Siokis & Chris Christodoulou, 2004. "Long Memory And Persistence In Dollar-Based Real Exchange Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 31-44.
    • Handle: RePEc:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002311
    DOI: 10.1142/S0219024904002311
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024904002311
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024904002311?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.

    More about this item

    Keywords

    Purchasing power parity; fractional integration; Whittle likelihood estimation; JEL classification code: F31; F41;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    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:wsi:ijtafx:v:07:y:2004:i:01:n:s0219024904002311. 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    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.