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Purchasing power parity under the European Monetary System

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  • Yin-Wong Cheung
  • Hung-Gay Fung
  • Kon S. Lai
  • Wai-Chung Lo

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  • Yin-Wong Cheung & Hung-Gay Fung & Kon S. Lai & Wai-Chung Lo, 1995. "Purchasing power parity under the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 179-189, April.
    • Handle: RePEc:eee:jimfin:v:14:y:1995:i:2:p:179-189
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    1. Edison, Hali J. & Fisher, Eric O'N, 1991. "A long-run view of the European monetary system," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 53-70, March.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Francesco Giavazzi & Marco Pagano, 1991. "The Advantage of Tying One's Hands: EMS Discipline and Central Bank Credibility," NBER Chapters, in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 303-330, National Bureau of Economic Research, Inc.
    4. Michael Artis & Dilip Nachane, 1990. "Wages and prices in Europe: A test of the German leadership thesis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 126(1), pages 59-77, March.
    5. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-280, July.
    6. Meese, Richard A & Singleton, Kenneth J, 1982. "On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-1035, September.
    7. Fisher, Eric O'N & Park, Joon Y, 1991. "Testing Purchasing Power Parity under the Null Hypothesis of Co-integration," Economic Journal, Royal Economic Society, vol. 101(409), pages 1476-1484, November.
    8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    9. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
    10. MacDonald, Ronald & Taylor, Mark P, 1991. "Exchange Rates, Policy Convergence, and the European Monetary System," The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 553-558, August.
    11. Fung, Hung-Gay & Lo, Wai-Chung, 1992. "Deviations from Purchasing Power Parity," The Financial Review, Eastern Finance Association, vol. 27(4), pages 553-570, November.
    12. Cheung, Yin-Wong & Lai, Kon S., 1993. "Long-run purchasing power parity during the recent float," Journal of International Economics, Elsevier, vol. 34(1-2), pages 181-192, February.
    13. Melitz, Jacques, 1985. "The welfare case for the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 4(4), pages 485-506, December.
    14. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    15. Mr. Owen Evens & Mr. Thomas H. Mayer & Mr. Philip M Young & Horst Ungerer, 1986. "The European Monetary System: Recent Developments," IMF Occasional Papers 1986/007, International Monetary Fund.
    16. Diebold, F X & Pauly, P, 1988. "Has the EMS Reduced Member-Country Exchange Rate Volatility?," Empirical Economics, Springer, vol. 13(2), pages 81-102.
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    Cited by:

    1. Ma, Yue & Kanas, Angelos, 2000. "Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 69-82, January.
    2. Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
    3. Rodolfo Helg & Massimiliano Serati, "undated". "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Rey, Serge & Varachaud, Pascal, 2000. "Le comportement des taux de change réels européens de la fin Bretton Woods à l’adoption de l’euro [The behavior of European real exchange rates from the Bretton Woods system end to the adoption of ," MPRA Paper 49502, University Library of Munich, Germany.
    5. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
    6. De La Cruz Martinez, Justino, 1999. "Mexico's balance of payments and exchange rates: a cointegration analysis," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 401-421.
    7. Michael G. Arghyrou & Andros Gregoriou & Panayiotis M. Pourpourides, 2011. "Risk aversion, exchange-rate uncertainty, and the law of one price: insights from the market for online air-travel tickets," Canadian Journal of Economics, Canadian Economics Association, vol. 44(3), pages 880-906, August.
    8. Rodolfo Helg & Massimiliano Serati, 2000. "The speed of adjustment to PPP: is there any puzzle?," LIUC Papers in Economics 74, Cattaneo University (LIUC).
    9. Chou, W. L., 2000. "Exchange Rate Variability and China's Exports," Journal of Comparative Economics, Elsevier, vol. 28(1), pages 61-79, March.
    10. Woo, Kai-Yin, 1999. "Cointegration analysis of the intensity of the ERM currencies under the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 393-405, November.
    11. Annaert, Jan & De Ceuster, Marc J. K., 1997. "The Big Mac: More than a junk asset allocator?," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 179-192.
    12. Su Zhou, 1997. "Purchasing Power Parity in High‐Inflation Countries: A Cointegration Analysis of Integrated Variables with Trend Breaks," Southern Economic Journal, John Wiley & Sons, vol. 64(2), pages 450-467, October.
    13. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
    14. Murat Doganlar, 1999. "Testing long-run validity of purchasing power parity for Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 147-151.
    15. Arize, Augustine C. & Malindretos, John & Shwiff, Steven S., 1999. "Structural breaks, cointegration, and speed of adjustment Evidence from 12 LDCs money demand," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 399-420, November.
    16. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.
    17. Murat Doğanlar, 2006. "Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 457-461.
    18. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December.

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