The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

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 …

Panel data econometrics continues to be a hot topic in econometrics and has experienced a
lot of growth over the last two decades. Micro-and Macro-panels are increasing in …

Originally propounded by the sixteenth-century scholars of the University of Salamanca, the
concept of purchasing power parity (PPP) was revived in the interwar period in the context of …

This paper studies testing for a unit root for large n and T panels in which the cross-sectional
units are correlated. To model this cross-sectional correlation, we assume that the data are …

In this paper alternative approaches for testing the unit root hypothesis in panel data are
considered. First, a robust version of the Dickey‐Fuller t‐statistic under contemporaneous …

This book presents an economic history of international capital mobility in the modern era. It
blends narrative and quantitative methods and connects economic outcomes to the …

In this article, a parametric framework for estimation and inference in cointegrated panel
data models is considered that is based on a cointegrated VAR (p) model. A convenient two …

Recent empirical evidence suggests that the time series behavior of the real exchange rate
is well approximated by a nonlinear, exponential smooth transition autoregressive (ESTAR) …

We fit nonlinearly mean‐reverting models to real dollar exchange rates over the post‐
Bretton Woods period, consistent with a theoretical literature on transactions costs in …