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Purchasing Power Parity: Evidence From Four Cee Countries

Author

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  • DIANA SADOVEANU
  • NICOLAE GHIBA

Abstract

This paper explores the purchasing power parity influence on exchange rate determination for 4 CEE countries: Czech Republic, Hungary, Poland and Romania. In order to achieve our goal, we applied Johansen cointegration procedure to find out a long-run equilibrium relationship between nominal exchange rate and price indices. Also, considering the fact, that results of other studies are mixed, we find as being necessarily to use three different price indices: consumer price index, consumer price index without regulated prices and industrial producer price index. The monthly data cover the 2001 M 01-2011 M 09 period. The empirical analysis provided mixed results depending on the country and used price index.

Suggested Citation

  • Diana Sadoveanu & Nicolae Ghiba, 2012. "Purchasing Power Parity: Evidence From Four Cee Countries," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 4(1 (March)), pages 80-89.
    • Handle: RePEc:shc:jaresh:v:4:y:2012:i:1:p:80-89
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    Citations

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    Cited by:

    1. A. Oznur Umit, 2016. "Stationarity of Real Exchange Rates in the ¡°Fragile Five¡±: Analysis with Structural Breaks," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 254-270, April.

    More about this item

    Keywords

    purchasing power parity; cointegration.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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