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La PPA est-elle vérifiée pour les pays développés et en développement ? Un ré-examen par l'économétrie des panels non stationnaires

Author

Listed:
  • Christophe Rault

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

  • Imed Drine

Abstract

The aim of this paper is to apply recent advances in the econometrics of non-stationary dynamic panel methods to examine the robustness of the PPP concept for a sample of seventy three developed and developing countries. Our investigations indicate that the strong form of PPP holds for OECD and Middle Eastern and North African countries. However in Africa, Asia, Latin America and the CEECs, PPP does not seem relevant to characterising the long-run behaviour of the real exchange rate. A widening of our field of analysis shows that the nature of the exchange rate regime does not condition the validity of the PPP, and that the PPP is more easily accepted in countries with high inflation rates than those with low rates. © La Doc. française.

Suggested Citation

  • Christophe Rault & Imed Drine, 2004. "La PPA est-elle vérifiée pour les pays développés et en développement ? Un ré-examen par l'économétrie des panels non stationnaires," Post-Print hal-02878000, HAL.
    • Handle: RePEc:hal:journl:hal-02878000
    DOI: 10.3917/ecoi.097.0049
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    Keywords

    Developed country; Developing country; Panel unit-root and cointegration tests; Purchasing power parity; Real exchange rate;
    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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