IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v37y2015icp69-85.html
   My bibliography  Save this article

Purchasing power parity-symmetry and proportionality: Evidence from 116 countries

Author

Listed:
  • Arize, Augustine C.
  • Malindretos, John
  • Ghosh, Dilip

Abstract

This paper examines the cointegration property of exchange rates and prices using techniques that have received limited attention in several studies on the validity of the Purchasing Power Parity (PPP) hypothesis. It provides comprehensive evidence on the PPP hypothesis using recent monthly data for 1971 through 2011 (i.e., 492 observations). The paper also explores the symmetry and proportionality conditions in PPP. In addition, estimates of the short-run dynamics are obtained for each country, utilizing the error–correction technique. Results from long-run cointegration analysis, short-run dynamics and half-lives, all provide evidence for long-run PPP. The symmetry condition is largely supported, and when imposed on prices, the proportionality condition is supported in a majority of cases.

Suggested Citation

  • Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
    • Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:69-85
    DOI: 10.1016/j.iref.2014.11.014
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056014001956
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2014.11.014?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Edison, Hali J. & Gagnon, Joseph E. & Melick, William R., 1997. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 1-17, February.
    2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    3. Emmanuel Anoruo & Habtu Braha & Yusuf Ahmad, 2002. "Purchasing power parity: Evidence from developing Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(2), pages 85-96, May.
    4. Dilip K. Ghosh & Augustine C. Arize, 2003. "Profit Possibilities in Currency Markets: Arbitrage, Hedging, and Speculation," The Financial Review, Eastern Finance Association, vol. 38(3), pages 473-496, August.
    5. Arize, Augustine C & Osang, Thomas & Slottje, Daniel J, 2000. "Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 10-17, January.
    6. Murat Doğanlar & Harun Bal & Mehmet Ozmen, 2009. "Testing long-run validity of purchasing power parity for selected emerging market economies," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1443-1448.
    7. Funke, Michael, 2001. "Money demand in Euroland," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 701-713, October.
    8. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
    9. Cheung, Yin-Wong & Lai, Kon S. & Bergman, Michael, 2004. "Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments," Journal of International Economics, Elsevier, vol. 64(1), pages 135-150, October.
    10. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    11. Nagayasu, Jun, 2002. "Does the Long-Run PPP Hypothesis Hold for Africa? Evidence from a Panel Cointegration Study," Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 181-187, April.
    12. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    13. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
    14. Corbae, Dean & Ouliaris, Sam, 1988. "Cointegration and Tests of Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 508-511, August.
    15. John Cooper, 1994. "Purchasing power parity: a cointegration analysis of the Australian, New Zealand and Singaporean currencies," Applied Economics Letters, Taylor & Francis Journals, vol. 1(10), pages 167-171.
    16. Alba, Joseph D. & Park, Donghyun, 2003. "Purchasing Power Parity in Developing Countries: Multi-Period Evidence Under the Current Float," World Development, Elsevier, vol. 31(12), pages 2049-2060, December.
    17. Pelin Öge Güney & Erdinç Telatar & Mübariz Hasanov, 2012. "Re-examining purchasing power parity for selected emerging markets and African countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 139-144, February.
    18. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    19. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October.
    20. Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009. "Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors," Journal of Econometrics, Elsevier, vol. 149(2), pages 118-135, April.
    21. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    22. Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August.
    23. Tsangyao Chang & Wen-Chi Liu & Han-Wen Tzeng & Chin-Ping Yu, 2010. "Purchasing power parity for G-7 countries: panel SURADF tests," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1223-1228.
    24. Christou, Christina & Pittis, Nikitas, 2002. "Kernel And Bandwidth Selection, Prewhitening, And The Performance Of The Fully Modified Least Squares Estimation Method," Econometric Theory, Cambridge University Press, vol. 18(4), pages 948-961, August.
    25. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    26. Choudhry, Taufiq, 1999. "Purchasing Power Parity in High-Inflation Eastern European Countries: Evidence from Fractional and Harris-Inder Cointegration Tests," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 293-308, April.
    27. MO Odedokun, 2000. "Fulfilment of purchasing power parity conditions in Africa: the differential role of CFA and non-CFA membership," Journal of African Economies, Centre for the Study of African Economies, vol. 9(2), pages 213-234.
    28. Alan M. Taylor, 1996. "International Capital Mobility in History: Purchasing-Power Parity in the Long Run," NBER Working Papers 5742, National Bureau of Economic Research, Inc.
    29. Nunzio Cappuccio & Diego Lubian, 2001. "Estimation And Inference On Long-Run Equilibria: A Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 61-84.
    30. Serletis, Apostolos & Zimonopoulos, Grigorios, 1997. "Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries," Journal of Macroeconomics, Elsevier, vol. 19(4), pages 781-802, October.
    31. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(1), pages 99-125.
    32. Bewley, R. A., 1979. "The direct estimation of the equilibrium response in a linear dynamic model," Economics Letters, Elsevier, vol. 3(4), pages 357-361.
    33. Mohsen Bahmani-Oskooee & Scott Hegerty, 2010. "Bounds testing cointegration methods and PPP: evidence from 123 Countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1335-1340.
    34. L. Achy, 2003. "Parity reversion persistence in real exchange rates: middle income country case," Applied Economics, Taylor & Francis Journals, vol. 35(5), pages 541-553.
    35. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
    36. Davutyan, Nurhan & Pippenger, John, 1985. "Purchasing Power Parity Did Not Collapse during the 1970's," American Economic Review, American Economic Association, vol. 75(5), pages 1151-1158, December.
    37. Papell, David H., 1997. "Searching for stationarity: Purchasing power parity under the current float," Journal of International Economics, Elsevier, vol. 43(3-4), pages 313-332, November.
    38. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    39. Sofiane Sekioua & Menelaos Karanasos, 2006. "The real exchange rate and the Purchasing Power Parity puzzle: further evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 199-211.
    40. Francis Ahking, 1997. "Testing long-run purchasing power parity with a Bayesian unit root approach: the experience of Canada in the 1950s," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 813-819.
    41. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
    42. Imad A. Moosa & Razzaque H. Bhatti, 1997. "International Parity Conditions," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-25523-8, March.
    43. Arize, Augustine C. & Malindretos, John & Nippani, Srinivas, 2004. "Variations in exchange rates and inflation in 82 countries: an empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 227-247, August.
    44. Tsangyao Chang & De-Piao Tang & Wen-Chi Liu & Chia-Hao Lee, 2010. "Purchasing power parity for 15 COMESA and SADC countries: evidence based on panel SURADF tests," Applied Economics Letters, Taylor & Francis Journals, vol. 17(17), pages 1721-1727.
    45. Zurbruegg, R. & Allsopp, L., 2004. "Purchasing power parity and the impact of the East Asian currency crisis," Journal of Asian Economics, Elsevier, vol. 15(4), pages 739-758, August.
    46. Crowder, William J, 1996. "Purchasing Power Parity When Prices Are I(2)," Review of International Economics, Wiley Blackwell, vol. 4(2), pages 234-246, June.
    47. Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    48. Arize, A. C., 1996. "Real exchange-rate volatility and trade flows: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 187-205.
    49. 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.
    50. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
    51. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
    52. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(1), pages 91-115, March.
    53. Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
    54. Cheung, Yin-Wong & Lai, Kon S., 2000. "On the purchasing power parity puzzle," Journal of International Economics, Elsevier, vol. 52(2), pages 321-330, December.
    55. Patel, Jayendu, 1990. "Purchasing Power Parity as a Long-Run Relation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 367-379, Oct.-Dec..
    56. Ashok Parikh & Elizabeth Wakerly, 2000. "Real exchange rates and unit root tests," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(3), pages 478-490, September.
    57. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    58. Enders, Walter, 1988. "ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 504-508, August.
    59. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
    60. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1063-1071.
    61. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-1261, December.
    62. Hargreaves, Colin P. (ed.), 1994. "Non-Stationary Time Series Analysis and Cointegration," OUP Catalogue, Oxford University Press, number 9780198773924.
    63. M. Ege Yazgan, 2003. "The purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 143-147.
    64. Ping Wang, 2000. "Testing PPP for Asian economies during the recent floating period," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 545-548.
    65. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
    66. Mr. Noureddine Krichene, 1998. "Purchasing Power Parities in Five East African Countries: Burundi, Kenya, Rwanda, Tanzania, and Uganda," IMF Working Papers 1998/148, International Monetary Fund.
    67. Salehizadeh, Mehdi & Taylor, Robert, 1999. "A test of purchasing power parity for emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 183-193, April.
    68. Garbis Iradian, 2009. "What Explains the Rapid Growth in Transition Economies?," IMF Staff Papers, Palgrave Macmillan, vol. 56(4), pages 811-851, November.
    69. Michael Bleaney, 1998. "Purchasing power parity in the 1920s: evidence for the Swiss franc," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 239-241.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Manuchehr Irandoust, 2017. "Symmetry, proportionality and productivity bias hypothesis: evidence from panel-VAR models," Economic Change and Restructuring, Springer, vol. 50(1), pages 79-93, February.
    2. SELMA Büyükkantarcı Tolgay & FERİT Kula, 2019. "Purchasing Power Parity Testing Unit Root Tests With Structural Break In Turkey," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 71(1), pages 89-98, March.
    3. Oladunjoye Opeyemi Nathaniel, 2019. "Validity of Purchasing Power Parity (PPP) Hypothesis in the Ecowas (1980–2017)," Emerging Economy Studies, International Management Institute, vol. 5(2), pages 141-156, November.
    4. Morrison, Michael & Fontenla, Matías, 2017. "Purchasing power parity across eight worlds," Economics Letters, Elsevier, vol. 158(C), pages 62-66.
    5. Farzana Naheed Khan & M. Tariq Majeed, 2018. "Poverty Traps and Economic Growth: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 10(4), pages 121-142, December.
    6. Faryal, & Faisal, Faisal & Amin, Muhammad Yusuf & Haq, Zahoor Ul & Rahman, Sami Ur & Ali, Adnan, 2023. "Natural resources revenues, shadow economy and financial institutions depth: The way forward," Resources Policy, Elsevier, vol. 85(PB).
    7. Boršič Darja & Bekő Jani, 2018. "Purchasing power parity in ASEAN+3: an application of panel unit root tests," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 4(1), pages 42-52, June.
    8. Hans Patrick Bidias-Menik & Simplice Gaël Tonmo, 2020. "Interest Rate Predictability In Some Selected African Countries," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 45-60.
    9. Dada James Temitope & Olomola Philip Akanni & Ajide Folorunsho Monsur, 2020. "Productivity Bias Hypothesis: New Evidence from Parallel Market Exchange Rate," Economics, Sciendo, vol. 8(1), pages 31-40, June.
    10. Tunaer Vural, Burçak Müge, 2019. "Determinants of Turkish real effective exchange rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 151-158.
    11. David De Villiers & Andrew Phiri, 2022. "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 31(2), pages 161-180, February.
    12. Augustine C. Arize & Ioannis N. Kallianiotis & John Malindretos & Alexis Panayides & Cheickna Sylla, 2021. "An Econometric Study of Forecasting French Foreign Exchange Rates," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 11(1), pages 3-14.
    13. Misbah Sadiq & Desti Kannaiah & Ghulam Yahya Khan & Malik Shahzad Shabbir & Kanwal Bilal & Aysha Zamir, 2023. "Does sustainable environmental agenda matter? The role of globalization toward energy consumption, economic growth, and carbon dioxide emissions in South Asian countries," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(1), pages 76-95, January.
    14. Kassi, Diby François & Sun, Gang & Gnangoin, Yobouet Thierry & Edjoukou, Akadje Jean Roland & Assamoi, Guy Roland, 2019. "Dynamics between Financial development, Energy consumption and Economic growth in Sub-Saharan African countries: Evidence from an asymmetrical and nonlinear analysis," MPRA Paper 93462, University Library of Munich, Germany, revised 23 Apr 2019.
    15. Adrian Marek Burda & Blazej Mazur & Mateusz Pawel Pipien, 2017. "Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 97-114.
    16. Roni Frish, 2016. "The Real Exchange Rate in the Long Term," Bank of Israel Working Papers 2016.03, Bank of Israel.
    17. Ali, Adnan & Ramakrishnan, Suresh & Faisal,, 2022. "Financial development and natural resources. Is there a stock market resource curse?," Resources Policy, Elsevier, vol. 75(C).
    18. Subhadip Mukherjee & Soumyatanu Mukherjee & Mamata Parhi & Kun Duan & Ahmed Usman, 2024. "A risk–return trade‐off or co‐movement? Are food processing firms risk‐averse?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2176-2192, April.
    19. Zhibai Zhang & Zhicun Bian & Minghua Zhan, 2022. "Is absolute purchasing power parity special for Spain?," Empirical Economics, Springer, vol. 62(2), pages 513-531, February.
    20. Ernest Kay Bakpa & Hu Xuhua & Abigail Konadu Aboagye, 2021. "Ghana’s economic growth: Directing our focus on the contributing influences of innovation activities and trade," Growth and Change, Wiley Blackwell, vol. 52(4), pages 2213-2237, December.
    21. Shahida Suleman & Mohamed Boukhris & Umar Nawaz Kayani & Hassanudin Mohammad Thas Thaker & Calvin W. H. Cheong & Abduraawf Hadili & Shehnaz Tehseen, 2024. "Are Trade Openness Drivers Relevant to Carbon Dioxide Emission? A Study of Emerging Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 183-196, March.
    22. Rakesh Kumar Sharma, 2021. "Factors influencing dividend decisions of Indian construction, housing and real estate companies: An empirical panel data analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5666-5683, October.
    23. Bekő Jani & Boršič Darja, 2018. "Testing the Purchasing Power Parity Hypothesis: Case of ASEAN Economies," Naše gospodarstvo/Our economy, Sciendo, vol. 64(4), pages 74-85, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
    2. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185.
    3. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
    4. Joseph M. Kargbo, 2004. "Purchasing Power Parity And Exchange Rate Policy Reforms In Africa," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 258-281, June.
    5. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
    6. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
    7. Adrian Marek Burda & Blazej Mazur & Mateusz Pawel Pipien, 2017. "Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 97-114.
    8. 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.
    9. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    10. Christev, Atanas & Noorbakhsh, Abbas, 2000. "Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries," Global Finance Journal, Elsevier, vol. 11(1-2), pages 87-108.
    11. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group.
    12. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
    13. K. Hassanain, 2004. "Purchasing Power Parity And Cross‐Sectional Dependency," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 238-257, June.
    14. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688, Elsevier.
    15. Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 235-268, April.
    16. Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
    17. Narayan Paresh K & Prasad Biman Chand, 2005. "The Validity of Purchasing Power Parity Hypothesis for Eleven Middle Eastern Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 44-58, August.
    18. Edison, Hali J. & Gagnon, Joseph E. & Melick, William R., 1997. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 1-17, February.
    19. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
    20. repec:onb:oenbwp:y::i:28:b:1 is not listed on IDEAS
    21. Strauss, Jack, 1999. "Productivity differentials, the relative price of non-tradables and real exchange rates," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 383-409.

    More about this item

    Keywords

    PPP; Cointegration; Error correction model;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:69-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.