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Purchasing power parity over two centuries : strengthening the case for real exchange rate stability - a reply to Cuddington and Liang
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Lothian, James R. and Taylor, Mark P. (2000) Purchasing power parity over two centuries : strengthening the case for real exchange rate stability - a reply to Cuddington and Liang. Journal of International Money and Finance, 19 (5). pp. 759-764. ISSN 0261-5606.
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Official URL: http://dx.doi.org/10.1016/S0261-5606(00)00030-9
Abstract
Cuddington and Liang (2000) [Purchasing power parity over two centuries? Journal of International Money and Finance, 19, 751-755] examine the long span of sterling-dollar real exchange rate data of Lothian and Taylor (1996) [Real exchange rate behavior: the recent float from the perspective of the past two centuries. Journal of Political Economy, 104, 488-509] and claim to reject long-run purchasing power parity by fitting time trends or by considering very high-order autoregresssive representations. This reply demonstrates, however, that the central claims of Lothian and Taylor are in fact strengthened by the implications of Cuddington and Liang's analysis in that, while the economic importance of introducing trend terms is slight, this leads to a faster estimated speed of mean reversion. (C) 2000 Elsevier Science Ltd. All rights reserved. JEL classification: F31; F41; C22.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Journal of International Money and Finance | ||||
Publisher: | Elsevier BV | ||||
ISSN: | 0261-5606 | ||||
Official Date: | 2000 | ||||
Dates: |
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Volume: | 19 | ||||
Number: | 5 | ||||
Number of Pages: | 6 | ||||
Page Range: | pp. 759-764 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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