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The purchasing power parity persistence puzzle: Evidence from black market real exchange rates

Cerrato, M and Kellard, N and Sarantis, N (2008) 'The purchasing power parity persistence puzzle: Evidence from black market real exchange rates.' Manchester School, 76 (4). 405 - 423. ISSN 1463-6786

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Abstract

In this paper we analyse the purchasing power parity (PPP) persistence puzzle using a unique data set of black market real exchange rates for 36 emerging market economies and (exact and approximate) median unbiased univariate and panel estimation methods. We construct bootstrap confidence intervals for the half-lives, as well as exact quantiles of the median function for different significance levels using Monte Carlo simulation. Even after accounting for a number of econometric issues, the PPP persistence puzzle is still a striking characteristic of the majority of emerging market countries. However, in a minority of exchange rates, the PPP puzzle is removed. © 2008 The Authors.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Neil Kellard
Date Deposited: 15 Nov 2011 10:21
Last Modified: 27 Nov 2017 12:15
URI: http://repository.essex.ac.uk/id/eprint/1506

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