| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2103 |
| DP2103 Short-Termism as Optimal Investment Policy | |
| Sandro Brusco | |
| 发表日期 | 1999-03-29 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure to control for cross-sectional dependence. This article presents evidence of mean-reversion in industrial country real exchange rates in a set up that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and capable of detecting against regime changes, and actually tests for the null of interest, ie. the purchasing power parity. Our results are based on a KPSS test for the stationarity null generalized in a multivariate random walk plus noise model by Nyblom and Harvey (1998). |
| 主题 | International Macroeconomics |
| 关键词 | Real exchange rates Unit root |
| URL | https://cepr.org/publications/dp2103 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531220 |
| 推荐引用方式 GB/T 7714 | Sandro Brusco. DP2103 Short-Termism as Optimal Investment Policy. 1999. |
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