Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
用面板数据方法检验实际汇率是否平稳，发现布雷顿森林体系后美元与多国实际汇率存在单位根的传统结论可能因检验效力不足而错误，新方法支持长期购买力平价成立。
It is well documented that real exchange rates between the United States and many industrialized countries in the post-Bretton Woods period are integrated. This result implies that purchasing power parity (PPP) does not hold even as a long run relationship. This paper demonstrates that the failure to reject the unit-root hypothesis may result from the low power of existing univariate test procedures. I test for unit roots in real exchange rates by employing a more powerful panel-based procedure. Using both CPI and WPI real dollar exchange rate data, I strongly reject the null hypothesis of a unit root. My results provide overwhelming support for the long-run PPP under the current float. Copyright 1996 by Ohio State University Press.