Are real exchange rates mean reverting? Evidence from a panel of OECD countries

Aslan O., Korap L.

APPLIED ECONOMICS LETTERS, cilt.16, sa.1, ss.23-27, 2009 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 16 Sayı: 1
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1080/13504850701735773
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.23-27
  • İstanbul Üniversitesi Adresli: Evet

Özet

In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity.