Publication:
Persistence Of Real Exchange Rates In The Central And Eastern European Countries

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dc.contributor.authorBaharumshah, AZen_US
dc.contributor.authorSoon, SVen_US
dc.contributor.authorFountas, Sen_US
dc.contributor.authorMohamad Shariff, NSen_US
dc.date.accessioned2024-05-29T03:25:32Z
dc.date.available2024-05-29T03:25:32Z
dc.date.issued2016
dc.description.abstractWe investigate the mean reversion in real exchange rates for Central and Eastern European countries. We use point and confidence interval estimates from the Phillips et al.'s (2001) local-persistent model as our preferred measures of the persistence of real exchange rates. We find that the adjustment to purchasing power parity is more rapid after accounting for structural breaks, with half-life deviation from parity below 18 months, which is consistent with the explanation based on nominal rigidities. The estimated narrow confidence intervals for the half-lives invalidate the purchasing power parity puzzle for transition and some core European Union countries. The novelty of our results lies in the finding of strong evidence for purchasing power parity as the local-persistent model produces shorter half-lives and much narrower corresponding confidence intervals than those obtained by standard Dickey-Fuller and local-to-unity models. Our evidence for PPP suggests that the transition countries have maintained their long-run competitiveness against their trading partners.
dc.identifier.doi10.3846/16111699.2015.1101396
dc.identifier.epage396
dc.identifier.isbn2029-4433
dc.identifier.issn1611-1699
dc.identifier.issue3
dc.identifier.scopusWOS:000378815000004
dc.identifier.spage381
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/11979
dc.identifier.volume17
dc.languageEnglish
dc.language.isoen_USen_US
dc.publisherVilnius Gediminas Tech Univen_US
dc.relation.ispartofJournal Of Business Economics And Management
dc.sourceWeb Of Science (ISI)
dc.subjecthalf-livesen_US
dc.subjectlocal persistenceen_US
dc.subjectstructural breaksen_US
dc.subjectreal exchange rateen_US
dc.subjectPPP puzzleen_US
dc.subjecttransition economiesen_US
dc.titlePersistence Of Real Exchange Rates In The Central And Eastern European Countriesen_US
dc.title.alternativeJ. Bus. Econ. Manag.en_US
dc.typeArticleen_US
dspace.entity.typePublication

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