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PPP May not Hold for Agricultural Commodities

Author

Listed:
  • Luciano Gutierrez

    (The University of Sassari)

Abstract

We use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in the panel, are used. Properties of unit roots and panel tests are analyzed by Monte Carlo simulation. Summarizing, our results show that during the post-Bretton-Woods period of flexible exchange rates, PPP does not hold for agricultural commodities.

Suggested Citation

  • Luciano Gutierrez, 2003. "PPP May not Hold for Agricultural Commodities," International Trade 0309022, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpit:0309022
    Note: Type of Document - PDF; prepared on IBM PC; to print on HP;
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/it/papers/0309/0309022.pdf
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    Cited by:

    1. Amornthum, Somchai & Bonham, Carl S., 2011. "Financial integration in the pacific basin region: RIP by PANIC attack?," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1019-1033, October.

    More about this item

    Keywords

    Key words : Purchasing Power Parity; Agricultural Commodities; Monte Carlo; Unit Root tests; Panel unit root tests.;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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