PPP Strikes Back: Aggregation and the Real Exchange Rate

Détails

ID Serval
serval:BIB_BB9B840D475B
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
PPP Strikes Back: Aggregation and the Real Exchange Rate
Périodique
Quarterly Journal of Economics
Auteur⸱e⸱s
Imbs J., Mumtaz H., Ravn M., Rey H.
Statut éditorial
Publié
Date de publication
02/2005
Peer-reviewed
Oui
Volume
120
Numéro
1
Pages
1-43
Notes
Lead article
Résumé
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that the aggregate real exchange rate is persistent because its components have heterogeneous dynamics. Established time series and panel methods fail to control for this. Using Eurostat data, we find that when heterogeneity is taken into account, the estimated persistence of real exchange rates falls dramatically. Its half-life, for instance, may fall to as low as eleven months, significantly below the "consensus view" of three to five years.
Mots-clé
Real Exchange Rate Persistence, Purchasing Power Parity, Aggregation, Parameter Heterogeneity
Création de la notice
19/11/2007 10:46
Dernière modification de la notice
20/08/2019 15:29
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