Have the constraints on PPP relaxed over time? Some evidence from Japan

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

A standard model with transportation costs implies that real exchange rates should follow a band threshold model where the process is a random walk within the bands and mean-reverting outside them. Because of technological improvements, these bands should narrow over time. The evidence indicates that such a feature is not supported by the data, casting doubts on the relevance of such models to describe the behavior of exchange rates.

Original languageEnglish
Pages (from-to)205-210
Number of pages6
JournalEconomics Letters
Volume84
Issue number2
DOIs
Publication statusPublished - 2004 Aug
Externally publishedYes

Fingerprint

Japan
Random walk
Real exchange rate
Transportation costs
Exchange rates
Threshold model
Mean-reverting

Keywords

  • Market integration
  • Real exchange rates
  • TAR

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Have the constraints on PPP relaxed over time? Some evidence from Japan. / Yabu, Tomoyoshi.

In: Economics Letters, Vol. 84, No. 2, 08.2004, p. 205-210.

Research output: Contribution to journalArticle

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