Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3553
Title: The specification of cross exchange rate equations used to test Purchasing Power Parity
Authors: Hunter, J
Simpson, M
Keywords: Arbitrage; misspeci√ěcation; non-stationarity; Purchasing Power Parity; real exchange rate
Issue Date: 2004
Publisher: Brunel University
Citation: Economics and Finance Discussion Papers, Brunel University, 04-22.
Abstract: The Article considers the specification of models used to test Purchasing Power Parity when applied to cross exchange rates. Specifically, conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspecified, except when the parameters of each exchange rate equation are the same.
URI: http://bura.brunel.ac.uk/handle/2438/3553
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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