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The real exchange rate, regime changes and volatility shifts
(Centro de Investigación y Docencia Económicas, División de Economía, 2013)
We make use of a data set that is both long span and high frequency to test for purchasing power parity while allowing for a structural shift in the volatility of the Mexico-US bilateral real exchange rate. The Kim, Leybourne ...
Is the real effective exchange rate biased against the PPP hypothesis?
(Centro de Investigación y Docencia Económicas, División de Economía, 2012)
We show that the use of the real effective exchange rate to test for purchasing power parity, as in Astorga (2012) and other studies, introduces a bias against finding evidence of PPP. The bias is illustrated using unit ...