Purchasing power parity and country characteristics: Evidence from panel data tests

Alba, Joseph D.; Papell, David H.

doi:10.1016/j.jdeveco.2005.09.006

Cited by 91 publications

(64 citation statements)

References 27 publications

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“…2 See Oh (1996), MacDonald (1996), Wu (1996), Lothian (1997), Papell (1997), Flôres et al (1999), Heimonen (1999), Wu and Wu (2001), Chiu (2002), MacDonald et al (2002), Alba and Park (2003) and a recent paper by Alba and Papell (2007) …”

Section: Methodsmentioning

confidence: 99%

Are real exchange rates mean reverting? Evidence from a panel of OECD countries

Aslan

Korap

2009

Applied Economics Letters

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___________________________________________________________________________In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999;Im et al., 2003) to examine whether the real exchange rates are mean reverting.Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a panel framework significantly increases the power of unit root tests. As a result, we find that the nonstationarity of the real exchange rate has strongly been rejected in favour of giving support to the purchasing power parity.

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Section: Methodsmentioning

confidence: 99%

Are real exchange rates mean reverting? Evidence from a panel of OECD countries

Aslan

Korap

2009

Applied Economics Letters

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“…Another study of Alba and Papell (2007), examined the absolute PPP, using panel data methods, testing for unit roots in the real exchange rates of 84 countries during the floating exchange rate period. The purpose of their study was to move beyond the developed/developing country dichotomy in order to investigate the role of individual country characteristic on PPP.…”

Section: Literature Reviewmentioning

confidence: 99%

Purchasing Power Parity: A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos

Antonopoulos

2015

Business and Economic Research

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The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is consistent with impressions from the statistics of stationarity tests. We also employ the variance decomposition method to analyze the movements in the exchange rates and the price indices that are caused by their own shocks, and shocks caused by other variables. With respect to half-life estimates, the results from a shock to the real exchange rate range from 0.81 to 6.45 years (3.23 years on average). Overall, unit root tests show that absolute PPP may not hold, but this depends on the country and the selected method. In contrast, the Johansen approach does not support the existence of

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“…The employment of such techniques appeared to be the optimal method in order to find a competitive solution. 5 The construction of the data set the neural network is based on the concept of historical memory as the objective of the ANN is to predict the trend of the exchange rate Euro/Dollar. 6 To train the neural network it is considered as current moment t-2 for each variable, so as to obtain two readings back in order to predict a trend output rate Eur/U.S.…”

Section: Optimal Topology Design Multi Layer Perceptron Neural (Mlp) mentioning

confidence: 99%

“…Economic theory has not yet provided econometric models to produce efficient forecasts of exchange rates, although many studies have been devoted to the estimation of equilibrium of exchange rates, including: 1) Cassel [1], Samuelson [2], Frankel [3], MacDonald [4], Alba and Papell [5], Alba and Park [6], Coacley, Flood, Fuertes and Taylor [7], Kim B.H., Kim H.K. and Oh [8], Taylor [9], Grossmann, Simpson and Brown [10] on the theory of Purchasing Power Parity (PPP); 2) Mundell [11], Dornbusch [12,13], Frenkel [14], Frenkel and Mussa [15], Rogoff [16] on the monetary approach;…”

Section: Introductionmentioning

confidence: 99%