The PPP Puzzle: What the Data Tell when Allowed to Speak Freely

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The PPP Puzzle : What the Data Tell when Allowed to Speak Freely. / Juselius, Katarina.

Department of Economics, University of Copenhagen, 2007.

Research output: Working paper › Research

Harvard

Juselius, K 2007 'The PPP Puzzle: What the Data Tell when Allowed to Speak Freely' Department of Economics, University of Copenhagen.

APA

Juselius, K. (2007). The PPP Puzzle: What the Data Tell when Allowed to Speak Freely. Department of Economics, University of Copenhagen.

Vancouver

Juselius K. The PPP Puzzle: What the Data Tell when Allowed to Speak Freely. Department of Economics, University of Copenhagen. 2007.

Author

Juselius, Katarina. / The PPP Puzzle : What the Data Tell when Allowed to Speak Freely. Department of Economics, University of Copenhagen, 2007.

Bibtex

@techreport{4e88e780aede11dcbee902004c4f4f50,
title = "The PPP Puzzle: What the Data Tell when Allowed to Speak Freely",
abstract = "The persistent movements away from long-run benchmark values in real exchange rates, dubbed the PPP puzzle, observed in many real exchange rates during periods of currency float have been subject to much empirical research without resolving the puzzle. The paper demonstrates how the cointegrated VAR approach by grouping together components of similar persistence can be used to uncover structures in the data that ultimately may help to explain theoretically the forces underlying such puzzling movements. The charaterization of the data into components which are empirically I(0), I(1), and I(2) is shown to be a powerful organizing principle allowing us to structure the data in long-run, medium-run, and short-run behavior. Its main advantage is the ability to associate persistent movements away from fundamental benchmark values in one variable/relation with similar persistent movements somewhere else in the economy",
keywords = "Faculty of Social Sciences, cointegrated VAR, deterministic componenets, I(2), persistent movements",
author = "Katarina Juselius",
note = "JEL Classification: C32, C50, F41",
year = "2007",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

TY - UNPB

T1 - The PPP Puzzle

T2 - What the Data Tell when Allowed to Speak Freely

AU - Juselius, Katarina

N1 - JEL Classification: C32, C50, F41

PY - 2007

Y1 - 2007

N2 - The persistent movements away from long-run benchmark values in real exchange rates, dubbed the PPP puzzle, observed in many real exchange rates during periods of currency float have been subject to much empirical research without resolving the puzzle. The paper demonstrates how the cointegrated VAR approach by grouping together components of similar persistence can be used to uncover structures in the data that ultimately may help to explain theoretically the forces underlying such puzzling movements. The charaterization of the data into components which are empirically I(0), I(1), and I(2) is shown to be a powerful organizing principle allowing us to structure the data in long-run, medium-run, and short-run behavior. Its main advantage is the ability to associate persistent movements away from fundamental benchmark values in one variable/relation with similar persistent movements somewhere else in the economy

AB - The persistent movements away from long-run benchmark values in real exchange rates, dubbed the PPP puzzle, observed in many real exchange rates during periods of currency float have been subject to much empirical research without resolving the puzzle. The paper demonstrates how the cointegrated VAR approach by grouping together components of similar persistence can be used to uncover structures in the data that ultimately may help to explain theoretically the forces underlying such puzzling movements. The charaterization of the data into components which are empirically I(0), I(1), and I(2) is shown to be a powerful organizing principle allowing us to structure the data in long-run, medium-run, and short-run behavior. Its main advantage is the ability to associate persistent movements away from fundamental benchmark values in one variable/relation with similar persistent movements somewhere else in the economy

KW - Faculty of Social Sciences

KW - cointegrated VAR

KW - deterministic componenets

KW - I(2)

KW - persistent movements

M3 - Working paper

BT - The PPP Puzzle

PB - Department of Economics, University of Copenhagen

ER -

ID: 1947819