Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting

Preprint OPEN
Sophocles N. Brissimis; Dimitris A. Sideris; Fragiska K. Voumvaki;
(2004)
  • Subject: Long-run PPP; exchange rate targeting; intervention policy; multivariate cointegration
    • jel: jel:F31 | jel:C32 | jel:F33

The present paper exploits the idea that empirical estimates of the long-run PPP relationship may compound two distinct influences coming from the behavior of market participants and policy makers when the latter are targeting the exchange rate. This tends to bias tests... View more
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