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01-105/4 - A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model


  • Authors
    Richard Kleijn, Econometric Institute, Erasmus University Rotterdam; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam
  • Publication date
    November 20, 2001
  • Keywords
    purchasing power parity puzzle; real exchange rate; time-varying mean; Gibbs sampling
  • JEL
    C11; C32; C52; F30