Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
作者： Guglielmo Maria Caporale , Luis A. Gil‐Alana
关键词: Econometrics 、 Us dollar 、 Monetary policy 、 Exchange rate 、 Variables 、 International economics 、 Null (mathematics) 、 Order of integration (calculus) 、 Economics 、 Mean reversion 、 Unit root
摘要: This paper tests the PPP hypothesis for South African rand/ US dollar real exchange rate using a fractional integration framework. The results suggest that of rand with respect to is highly dependent variable an order very close 1. finding not affected by data frequency considered (daily, weekly or monthly). Also, there appears be single break in December 2001 (possibly corresponding change monetary policy framework), unit root null being rejected favour d > 1 periods before break, but afterwards. Thus, our strongly reject / across frequencies.
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