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Title: The specification of cross exchange rate equations used to test Purchasing Power Parity
Authors: Hunter, J
Simpson, M
Keywords: Arbitrage; misspeciÞcation; non-stationarity; Purchasing Power;Parity; real exchange rate
Issue Date: 2004
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 04-22
Abstract: The Article considers the speciÞcation of models used to test Pur- chasing Power Parity when applied to cross exchange rates. SpeciÞcally, conventional dynamic models used to test stationarity of the real exchange rate are likely to be misspeciÞed, except when the parameters of each ex- change rate equation are the same
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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