Long-run dynamics of exchange rates: A multi-frequency investigation

• Published in: The North American journal of economics and finance Vol. 54; p. 101125
• Main Authors: Hai Vo, Long, Hong Vo, Duc
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.11.2020
• Subjects: Multi-frequency analysis; Purchasing power parity; Wavelets; Wavelets; Multi-frequency analysis; F31; F39; Purchasing power parity; C58

The empirical observation that purchasing power parity (PPP) holds in the long run but not in the short run has enjoyed a near-consensus status in international finance literature. However, a similar degree of agreement has not been reached with respect to the exact horizon of this “long run” aspect...