Abstract
Real Exchange Rates and Unit Root Tests. — This paper examines monthly OECD exchange rate data (1979–1997) using univariate and panel data unit root tests. Some of these tests support the hypothesis of a unit root. But tests of cointegration reveal the existence of weak purchasing power parity relationships between bilateral nominal exchange rates and relative prices. We suggest that researchers need not conduct unit root tests on real exchange rate data when a modified version of PPP is used; or if there is a long enough time series. Given the definition of real exchange rates, the indicator should be stationary and should have intrinsic mean reverting behaviour.
Zusammenfassung
Reale Wechselkurse und Tests auf Einheitswurzel. — Dieser Artikel untersucht monatliche OECD-Daten über Wechselkurse in den Jahren 1979–1997, wobei die Tests eindimensional sind und Paneldaten verwenden. Einige der Tests stützen die Hypothese der Einheitswurzel. Aber Kointegrationstests zeigen, dass nur schwache KaufkraftparitÄtenbeziehungen zwischen bilateralen nominalen Wechselkursen und relativen Preisen bestehen. Anderen Forschern wird vorgeschlagen, die realen Wechselkurse keinem Test zu unterwerfen, wenn eine modifizierte Version der KaufkraftparitÄtentheorie verwendet wird oder wenn die Zeitreihe lang genug ist. Bei gegebener Definition der realen Wechselkurse sollte der Indikator stationÄr sein und von sich aus zum Mittelwert zurückkehren.
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