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