Univariate time series behaviour of the real exchange rate: evidence from colonial India

This paper empirically examines the long-run behaviour of the real exchange rate in colonial India between the British pound and the Indian rupee using a battery of unit root tests. The unit root tests based on the KPSS test, the GPH fractional integration test, and the non-linear KSS test indicate that the real exchange rate series is stationary and mean-reverting, which tends to support the validity of the purchasing power parity (PPP) hypothesis in the long run.