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Stationarity of the European real exchange rates-evidence from panel data

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This paper employs a panel unit root test for the real exchange rates of 13 EU member countries. The estimation period covers the EMS period from 1980:1 to 1992:2 In contrast with the earlier panel unit root studies concerning purchasing power parity (PPP), effective real exchange rates are used. As a result, the non-stationarity of the real exchange rate was rejected. However, the half-life of the real exchange rate adjustment turned out to be long. Potential reasons for this might be the relatively short estimation period and the nature of the data.

Document Type: Research Article


Publication date: June 1, 1999

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