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La PPA est-elle verifiee pour les pays developpes et en developpement ? Un re-examen par l'econometrie des panels non-stationnaires

Author

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  • Imed Drine
  • Christophe Rault

Abstract

L'objet de cet article est d'utiliser les developpements recents de l'econometrie des panels dynamiques non stationnaires afin d'examiner la robustesse du concept de PPA pour un echantillon de 73 pays developpes et en developpement. Nos investigations revelent que la forme forte de la PPA est verifiee pour un ensemble de pays de l'OCDE et le groupe MENA. En revanche, pour l'Afrique, l'Asie, l'Amerique latine et les PECO, les deux formes, faible et forte de la PPA, ne semblent pas pertinentes pour caracteriser le comportement de long terme du taux de change reel. Un elargissement de notre champ d'analyse montre d'une part, que la nature du regime de change ne conditionne pas la validite de la PPA et d'autre part, que la PPA est plus facilement acceptee dans les pays a inflation elevee que dans les pays a inflation faible.

Suggested Citation

  • Imed Drine & Christophe Rault, 2004. "La PPA est-elle verifiee pour les pays developpes et en developpement ? Un re-examen par l'econometrie des panels non-stationnaires," Economie Internationale, CEPII research center, issue 97, pages 49-80.
    • Handle: RePEc:cii:cepiei:2004-1tb
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    File URL: http://www.cepii.fr/IE/rev97/rev97b.htm
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    Keywords

    Theorie de la parite de pouvoir d'achat; taux de change reel; pays developpes; pays en developpement; donnees de panel; PPA; econometrie; panel; taux de change; PVD; comparaison internationale;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F0 - International Economics - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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