Searching stationarity in the real exchange rates: Application of the SUR estimator

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10 Citations (Scopus)

Abstract

In the foreign exchange market, all national currencies are priced in terms of a common numeraire (usually the U.S. dollar); hence, cross-currency correlation is likely to be important in the empirical investigation of stationarity. Recently, the SUR estimator is employed to account for the effects of cross-currency correlation on the long-run purchasing power parity. Under the SUR framework, this paper examines the joint unit-root null and the ADF-based panel unit root. Data of 30 currencies, spans from 1980 to 1999, are used for empirical analysis and the results are supportive.

Original languageEnglish
Pages (from-to)275-289
Number of pages15
JournalOpen Economies Review
Volume13
Issue number3
DOIs
Publication statusPublished - 2002
Externally publishedYes

Keywords

  • Purchasing power parity
  • SUR
  • Unit root

ASJC Scopus subject areas

  • Economics and Econometrics

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