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

Tomoyoshi Yabu

doi:10.1016/j.econlet.2004.02.003

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

Tomoyoshi Yabu

Research output: Contribution to journal › Article › peer-review

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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 language	English
Pages (from-to)	205-210
Number of pages	6
Journal	Economics Letters
Volume	84
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2004.02.003
Publication status	Published - 2004 Aug 1
Externally published	Yes

Keywords

Market integration
Real exchange rates
TAR

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2004.02.003

Cite this

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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.",

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

Abstract

Keywords

ASJC Scopus subject areas

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