Real Exhange Rate Stationarity in Managed Floats: Evidence From India
Author
Suggested Citation
Note: Type of Document - pdf; pages: 32
Download full text from publisher
Other versions of this item:
- Renu Kohli, 2004. "Real Exchange Rate Stationarity in Managed Floats: Evidence from India," International Finance 0405011, University Library of Munich, Germany.
References listed on IDEAS
- repec:bla:scandj:v:78:y:1976:i:2:p:200-224 is not listed on IDEAS
- Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
- Hamid Baghestani, 1997. "Purchasing power parity in the presence of foreign exchange black markets: the case of India," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1147-1154.
- Obstfeld, Maurice & Rogoff, Kenneth, 1995.
"The intertemporal approach to the current account,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 34, pages 1731-1799,
Elsevier.
- Maurice Obstfeld and Kenneth Rogoff., 1994. "The Intertemporal Approach to the Current Account," Center for International and Development Economics Research (CIDER) Working Papers C94-044, University of California at Berkeley.
- Maurice Obstfeld & Kenneth Rogoff, 1994. "The Intertemporal Approach to the Current Account," NBER Working Papers 4893, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Rogoff, Kenneth, 1994. "The Intertemporal Approach to the Current Account," Center for International and Development Economics Research (CIDER) Working Papers 233395, University of California-Berkeley, Department of Economics.
- Papell, David H., 1997. "Searching for stationarity: Purchasing power parity under the current float," Journal of International Economics, Elsevier, vol. 43(3-4), pages 313-332, November.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Marianne Baxter & Alan C. Stockman, 1988.
"Business Cycles and the Exchange Rate System: Some International Evidence,"
NBER Working Papers
2689, National Bureau of Economic Research, Inc.
- Baxter, M. & Stockman, A.C., 1988. "Business Cycles And The Exchange Rate System: Some International Evidence," RCER Working Papers 140, University of Rochester - Center for Economic Research (RCER).
- Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"A panel project on purchasing power parity: Mean reversion within and between countries,"
Journal of International Economics, Elsevier, vol. 40(1-2), pages 209-224, February.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," Center for International and Development Economics Research (CIDER) Working Papers C95-052, University of California at Berkeley.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," Center for International and Development Economics Research (CIDER) Working Papers 233411, University of California-Berkeley, Department of Economics.
- Jeffrey A. Frankel & Andrew K. Rose, 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," NBER Working Papers 5006, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A & Rose, Andrew K, 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," CEPR Discussion Papers 1128, C.E.P.R. Discussion Papers.
- Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
- Alesina, Alberto & Perotti, Roberto, 1995. "Taxation and redistribution in an open economy," European Economic Review, Elsevier, vol. 39(5), pages 961-979, May.
- Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
- Froot, Kenneth A. & Rogoff, Kenneth, 1995.
"Perspectives on PPP and long-run real exchange rates,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688,
Elsevier.
- Ken Froot & Kenneth Rogoff, "undated". "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
- Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
- Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- G. M. Grossman & K. Rogoff (ed.), 1995. "Handbook of International Economics," Handbook of International Economics, Elsevier, edition 1, volume 3, number 3.
- Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag,"
Cahiers de recherche
9423, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Kenneth Rogoff, 1992.
"Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 10(2), pages 1-29, November.
- Kenneth Rogoff, 1992. "Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate," NBER Working Papers 4119, National Bureau of Economic Research, Inc.
- Maurice Obstfeld., 1993.
"Model Trending Real Exchange Rates,"
Center for International and Development Economics Research (CIDER) Working Papers
C93-011, University of California at Berkeley.
- Obstfeld, Maurice, 1993. "Model Trending Real Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers 233187, University of California-Berkeley, Department of Economics.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72(6), pages 584-584.
- Alan M. Taylor, 2002.
"A Century Of Purchasing-Power Parity,"
The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
- Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
- Lawrence H. Officer, 1982. "The Purchasing-Power-Parity Theory of Gerrard de Malynes," History of Political Economy, Duke University Press, vol. 14(2), pages 256-259, Summer.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-328, August.
- O'Connell, Paul G. J., 1998. "The overvaluation of purchasing power parity," Journal of International Economics, Elsevier, vol. 44(1), pages 1-19, February.
- Heon Jin Park & Wayne A. Fuller, 1995. "Alternative Estimators And Unit Root Tests For The Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 415-429, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 41-69, March.
- Soubarna Pal, 2011. "Productivity Differential and Bilateral Real Exchange Rate between India and US," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 146-155.
- Natalie D. Hegwood & Hiranya K. Nath, 2014.
"Real exchange rate dynamics: Evidence from India,"
Economic Analysis and Policy, Elsevier, vol. 44(4), pages 396-404.
- Natalie D. Hegwood & Hiranya K. Nath, 2014. "Real Exchange Rate Dynamics: Evidence from India," Working Papers 1408, Sam Houston State University, Department of Economics and International Business.
- Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
- Khan, Muhammad Arshad & Qayyum, Abdul, 2007. "Exchange Rate Determination In Pakistan: Evidence Based On Purchasing Power Parity Theory," MPRA Paper 6754, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Cheung, Yin-Wong & Lai, Kon S., 2000.
"On cross-country differences in the persistence of real exchange rates,"
Journal of International Economics, Elsevier, vol. 50(2), pages 375-397, April.
- Yin-Wong Cheung & Kon S. Lai, 1999. "On Cross-Country Differences in the Persistence of Real Exchange Rates," CESifo Working Paper Series 218, CESifo.
- Cheung, Yin-Wong & Lai, Kon S., 1998. "Parity reversion in real exchange rates during the post-Bretton Woods period," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 597-614, August.
- Papell, David H., 2002.
"The great appreciation, the great depreciation, and the purchasing power parity hypothesis,"
Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
- David Papell, 1998. "The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank).
- Maican, Florin G. & Sweeney, Richard J., 2013.
"Real exchange rate adjustment in European transition countries,"
Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
- Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, University of Gothenburg, Department of Economics.
- Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004.
"The exchange rate and purchasing power parity: extending the theory and tests,"
Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
- Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
- Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
- Dimitrios Malliaropulos & Ekaterini Panopoulou & Nikitas Pittis & Theologos Pantelidis, 2006.
"The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp135, IIIS.
- Ekaterini Panopoulou & Dimitrios Malliaropulos & Theologos Pantelidis & Nikitas Pittis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," Economics Department Working Paper Series n1640306, Department of Economics, National University of Ireland - Maynooth.
- Georgios Chortareas & George Kapetanios, 2004.
"The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 113-131, February.
- Georgios Chortareas & George Kapetanios, 2003. "The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests," Working Papers 484, Queen Mary University of London, School of Economics and Finance.
- Georgios Chortareas & George Kapetanios, 2006. "The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests," Bank of England working papers 311, Bank of England.
- David O. Cushman, 2008. "Real exchange rates may have nonlinear trends," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 158-173.
- Taylor, Mark P. & Sarno, Lucio, 1998.
"The behavior of real exchange rates during the post-Bretton Woods period,"
Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December.
- Sarno, Lucio & Taylor, Mark P, 1997. "The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period," CEPR Discussion Papers 1730, C.E.P.R. Discussion Papers.
- Alan M. Taylor, 2002.
"A Century Of Purchasing-Power Parity,"
The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
- Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
- Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005.
"Testing long-run purchasing power parity under exchange rate targeting,"
Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
- Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
- César Calderón & Roberto Duncan, 2003.
"Purchasing power parity in an emerging market economy: a long- span study for Chile,"
Estudios de Economia, University of Chile, Department of Economics, vol. 30(1 Year 20), pages 103-132, June.
- César Calderón & Roberto Duncan, 2003. "Purchasing Power Parity in an Emerging Market Economy: A Long-Span Study for Chile," Working Papers Central Bank of Chile 215, Central Bank of Chile.
- Chen, Natalie, 2004.
"The behaviour of relative prices in the European Union: A sectoral analysis,"
European Economic Review, Elsevier, vol. 48(6), pages 1257-1286, December.
- Chen, Natalie, 2002. "The Behaviour of Relative Prices in the European Union: A Sectoral Analysis," CEPR Discussion Papers 3320, C.E.P.R. Discussion Papers.
- Cheung, Yin-Wong & Lai, Kon S. & Bergman, Michael, 2004.
"Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments,"
Journal of International Economics, Elsevier, vol. 64(1), pages 135-150, October.
- Yin-wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments," Working Papers 102003, Hong Kong Institute for Monetary Research.
- Yin-Wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment," CESifo Working Paper Series 924, CESifo.
- Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate,"
Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
- Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
- Taylor, Mark & Taylor, Alan M., 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
- Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 133, University of California, Davis, Department of Economics.
- Lucio Sarno & Mark P. Taylor, 2002.
"Purchasing Power Parity and the Real Exchange Rate,"
IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
- Taylor, Mark & Sarno, Lucio, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
- Dimitrios Sideris, 2008. "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers 66, Bank of Greece.
- Alba, Joseph D. & Papell, David H., 2007. "Purchasing power parity and country characteristics: Evidence from panel data tests," Journal of Development Economics, Elsevier, vol. 83(1), pages 240-251, May.
- Herwartz, Helmut & Reimers, Hans-Eggert, 2002.
"Testing the purchasing power parity in pooled systems of error correction models,"
Japan and the World Economy, Elsevier, vol. 14(1), pages 45-62, January.
- Herwartz, Helmut & Reimers, Hans-Eggert, 2000. "Testing the purchasing power parity in pooled systems of error correction models," SFB 373 Discussion Papers 2000,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
More about this item
Keywords
real exchange rates; purchasing power parity; exchange rate policy; India; Balassa-Samuelson effect;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2004-05-16 (Central and Western Asia)
- NEP-IFN-2004-05-26 (International Finance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpif:0405014. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.