Cover IMF Working Papers
Buy Book in Print
Long-Run Exchange Rate Dynamics: A Panel Data Study
Author:
Mr. Karl F Habermeier
Search for other papers by Mr. Karl F Habermeier in
Current site
Google Scholar Close
and
Mr. Mario M Mesquita
Search for other papers by Mr. Mario M Mesquita in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 1999: Issue 050
Language:
English
Publication Date:
01 Apr 1999
DOI:
https://doi.org/10.5089/9781451846959.001
ISBN:
9781451846959
ISSN:
1018-5941
Pages:
25
Keywords:
WP; Exchange Rates; Panel Data Econometrics; Purchasing Power Parity (PPP); Balassa-Samuelson Effect; Terms of Trade; exchange rate depreciation; MG estimate; inflation economy; terms of trade effect; mean group; PPP hypothesis; Real exchange rates; Purchasing power parity; Inflation; Africa; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (1,014.2 KB) Download Epub
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund