Publisher Summary This chapter presents an overview of the long-run determinants of
purchasing power parity (PPP). It reviews the huge time series literature testing simple PPP …

Purchasing Power Parity and Real Exchange Rates Page 1 Real exchange rates and
Purchasing Power Parity: mean-reversion in economic thought Mark P. Taylor Department of …

Modelling based on finite mixture distributions is a rapidly developing area with the range of
applications exploding. Finite mixture models are nowadays applied in such diverse areas …

Regressions of multiple-period changes in the log exchange rate on the deviation of the log
exchange rate from its" fundamental value," display evidence that long-horizon changes in …

Since standard tests for mean reversion in real exchange rates may lack power with data
spanning the recent float, researchers have employed more powerful multivariate tests …

This paper investigates empirically and attempts to identify the sources of real exchange-
rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

Using annual data spanning two centuries for dollar-sterling and franc-sterling real
exchange rates, we find strong evidence of mean-reverting real exchange rate behavior …

Bayesian estimation of a very general model class, where the distribution of the
observations depends on a latent process taking values in a discrete state space, is …