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http://bura.brunel.ac.uk/handle/2438/3553| Title: | The specification of cross exchange rate equations used to test Purchasing Power Parity |
| Authors: | Hunter, J Simpson, M |
| Keywords: | Arbitrage; misspeciÞcation; non-stationarity; Purchasing Power Parity; real exchange rate |
| Issue Date: | 2004 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Discussion Papers, Brunel University, 04-22. |
| Abstract: | The Article considers the specification of models used to test Purchasing Power Parity when applied to cross exchange rates. Specifically, conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspecified, except when the parameters of each exchange rate equation are the same. |
| URI: | http://bura.brunel.ac.uk/handle/2438/3553 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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