Are real exchanges rate series really persistent?: evidence from three commonwealth of independent states countries
Yükleniyor...
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This article sets out to examine the degree of persistence in the real exchange rates of Kazakhstan, Kyrgyzstan and Russia, and tests the validity of Purchasing power parity (PPP) using monthly data covering 1995: 01-2013: 12 period. The sum of autoregressive (AR) coefficients is used in order to examine persistence of the real exchange rate series and grid-bootstrap method is employed for the confidence intervals. The tests performed suggest two results: (1) Covering the full sample and sub-sample periods, excluding Kyrgyzstan in 1995: 01-1998: 07 and Russia in 2008: 09-2013: 12 periods, disregarding the structural breaks in the data generating process, there is high persistency in real exchange rates; (2) there is evidence in support of PPP covering the full sample for every country except for Kyrgyzstan in 1995: 01-1998: 07 and Russia in 2008: 09-2013: 12 periods.
Açıklama
aksoy, emre/0000-0003-3189-1427; ozdemir, zeynel abidin/0000-0001-8600-0463
Anahtar Kelimeler
PPP, real exchange rates, persistence, structural change, grid bootstrap, half-life
Kaynak
Applied Economics
WoS Q Değeri
Q3
Scopus Q Değeri
Q2
Cilt
47
Sayı
40
Künye
closedAccess
