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This study presents additional evidence on the convergence speeds of real exchange rates. Using median unbiased estimation, impulse response analysis and long horizon data sampled annually and monthly, we estimate the speeds at which deviations from puchasing power parity (PPP) die out. Both monthly and annual data have been used since temporal aggregation has been proposed as a possible cause of the implausibly larg half-lives reported in the literature. Moreover, since reporting only point estimates provides an incomplete picture of the speed of convergence towards PPP, median ubiased confidence intervals are also estimated. The results show that the confidence intervals estimated using monthly data are much larger. Therefore, on the basis of the evidence reported in this study, the results on temporal aggregation by Taylor (2001) are unlikely to have a major role in empirically explaining the PPP puzzle.
