Quantifying the non-stationarity in Irish real exchange rates
Item Type:Journal Article
Citation:Wright, Johnathan H. 'Quantifying the non-stationarity in Irish real exchange rates'. - Economic & Social Review, Vol. 25, No. 1, October, 1993, pp. 109-119. Dublin: Economic & Social Research Institute
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Empirical work, both in Ireland and elsewhere, has found little evidence for the proposition that log-real exchange rates are stationary, implying that the purchasing power parity (PPP) relation cannot hold, not even in a long-run equilibrium. Using techniques proposed by Cochrane (1988), we aim to quantify the magnitude of that non-stationarity in Irish/German and Irish/UK data during the EMS period. In this way we can assess how empirically important deviations from PPP are. At least in the case of Irish/German data, the non-stationarity in the log real exchange rate appears to be small.
Author: Wright, Jonathan H.
Publisher:Economic & Social Studies
Type of material:Journal Article
Availability:Full text available