Real exchange rates in Latin America : the PPP hypothesis and fractional integration

摘要: This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared earlier studies on these economies, this approach has the advantage allowing non-integer values degree integration, and thus possibility not holding continuously but as long-run equilibrium condition. Further, breaks series are endogenously determined using procedure based least-squares principle. is particularly crucial countries, which have been affected several crises policy regime changes. The results, different assumptions about underlying disturbances, majority cases inconsistent with PPP, even more so when incorporated: Argentina only country clear evidence mean reversion found model including break, albeit second subsample.