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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2011-04-18T11:00:37Z | - |
dc.date.available | 2011-04-18T11:00:37Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 10-11 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/5054 | - |
dc.description.abstract | This paper tests the PPP hypothesis for the South African rand/ US dollar real exchange rate using a fractional integration framework. The results suggest that the real exchange rate of the South African rand with respect to the US dollar is a highly dependent variable with an order of integration very close to 1. This finding is not affected by the data frequency considered (daily, weekly or monthly). Also, there appears to be a single break in December 2001 (possibly corresponding to a change in the monetary policy framework), with the unit root null being rejected in favour of d > 1 for the periods before the break, but not afterwards. Thus, our results strongly reject the PPP hypothesis for the South African rand / US dollar rate across data frequencies. | en_US |
dc.description.sponsorship | The second-named author gratefully acknowledges financial support from the Ministerio de Ciencia y TecnologĂa (ECO2008-03035 ECON Y FINANZAS, Spain) and from a PIUNA Project of the University of Navarra. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | PPP | en_US |
dc.subject | Real exchange rate | en_US |
dc.subject | Mean reversion | en_US |
dc.title | Testing PPP for the South African Rand/US Dollar exchange rate at different frequencies | en_US |
dc.type | Working Paper | en_US |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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1011[1].pdf | 178.25 kB | Adobe PDF | View/Open |
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