Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72626
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Lovcha, Yuliya
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1288
Abstract: 
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent with the relative version of PPP.
Subjects: 
PPP
long memory
multivariate fractional integration
JEL: 
C22
F31
Document Type: 
Working Paper

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