Jean-François Hoarau

The purchasing power parity in Australia: evidence from unit root test with structural break

The unit root test with structural break developed by Perron and Rodriguez are used to study the purchasing power parity (PPP) in the spirit of Balassa–Samuelson in Australia for the period January 1977 to April 2004. The results indicate that there is a break in February 1985 which coincides with the exchange rate crisis in 1985, occurring after the establishment of the dirty flexible exchange rate system. We also show that there is no tendency to the PPP in Australia to hold in the long-run during this period.

Further Evidence On Mean Reversion In The Australian Exchange Rate

In this paper we re-examine the purchasing power parity (PPP) in Australia for the period February 1970 to April 2005 using an alternative method relative to the previous studies. We underlined large shocks due to depreciations that affected the Australian exchange rate, using outlier methodology. Once we adjusted the data of these outliers that had large, but either temporary or permanent effects on the series, our results show that there is no tendency for PPP in Australia to hold in the long run during this period.

Multiple structural regimes in real exchange rate misalignment: the case of Australian dollar

We apply the Bai and Perron method (Econometrica, 1998, 66, 47–78) to search for several structural changes in the real exchange rate misalignment data of the Australian dollar over January 1976 to February 2000. Then, the estimated structural breaks dates are compared with Australian monetary and exchange rate regimes from 1976. This brings us to conclude that a good monetary management is needed to face real exchange rate distortions. Besides, implementing a policy-mix by combining an inflation targeting policy and a dirty flexible exchange rate policy turns out to be really effective to struggle real misalignments as far as Australia is concerned.

Testing for nominal convergence in the Central American area: evidence from panel data unit-root tests

Inflation convergence between the Central American Area and the United States is investigated using both recent homogeneous and heterogeneous panel data unit-root methods. Strong rejections of unit-root hypothesis are found, and therefore evidence of Purchasing Power Parity, in the Central American countries for the 1981:1–2005:4 period. Then by considering the nominal convergence criterion, the dollarization system seems to be suited to this region.

Short Note on the Unemployment Rate of the 'French Overseas Regions'

This article analyzes the hysteresis hypothesis in the unemployment rates of the four French overseas regions (Guadeloupe, Martinique, Guyana, Reunion) [FORs] over the period 1993-2008. We use standard univariate and panel unit root tests, among them Choi (2006) and Lopez (2009) that account for cross-sectional dependence and have improved performance when the number of countries and the time dimension of the data are limited. Our results cannot reject the null hypothesis of a unit root and so find evidence supporting hysteresis in the unemployment rates for the FORs.