Series: IMF Working Papers
Author(s): C. McDermott , and Paul Cashin
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2004
Keywords: Parity reversion, real exchange rate, post-Bretton Woods, exchange rate, exchange rates, real exchange rates, nominal exchange rate, Open Economy Macroeconomics,
Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingl...