Imbs, Jean M.
[Verfasser:in]
;
Mumtaz, Haroon
[Sonstige Person, Familie und Körperschaft];
Ravn, Morten O.
[Sonstige Person, Familie und Körperschaft];
Rey, Hélène
[Sonstige Person, Familie und Körperschaft]
Erschienen in:IMF Working Paper, Vol. , pp. 1-42, 2003
Umfang:
1 Online-Ressource (42 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.879143
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2003 erstellt
Beschreibung:
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When heterogeneity is properly taken into account, estimates of the real exchange rate half-life fall dramatically, to little more than one year, or significantly below Rogoff's consensus view of three to five years. We show that corrected estimates are consistent with plausible nominal rigidities, thus, arguably, solving the PPP puzzle