Purchasing Power Parity in the Long Run: A Cointegration Approach

Kim, Yoonbai

doi:10.2307/1992433

Cited by 264 publications

(103 citation statements)

References 33 publications

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“…Abuaf and Jorion (1990) show evidence of mean reversion in the real exchange rate by modeling the time-series properties of the real exchange rate. Corbae and Ouliaris (1988) and Kim (1990) provide evidence to support the long-run PPP hypothesis. Frenkel (1986) using annual data from 1869 to 1984 is able to reject the random walk hypothesis of the real exchange rate.…”

Section: Evidence For Long-run Purchasing Power Paritymentioning

confidence: 91%

The Purchasing Power Parity Hypothesis: Is there evidence from the Bilateral Real Exchange Rate between Mexico and the United States of America?

Boamah¹

2012

Ghana J. Dev. Stud.

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Section: Evidence For Long-run Purchasing Power Paritymentioning

confidence: 91%

The Purchasing Power Parity Hypothesis: Is there evidence from the Bilateral Real Exchange Rate between Mexico and the United States of America?

Boamah¹

2012

Ghana J. Dev. Stud.

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“…Ridzuan ve Ahmed (2011), Carlsson vd. (2007, Cooper (1994), Kim (1990)'ın çalışmaları örnek olarak gösterilebilir.…”

Section: Satın Alma Gücü Paritesi'nin Testine Yönelik Yazın Taramasıunclassified

Satın Alma Gücü Paritesi Teorisinin Geçerliliği: G7 Örneği

Akçay¹,

Erataş²

2015

İGÜSBD

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ÖzBir değişim oranı olan Satın Alma Gücü Paritesi (SGP) ülkeler arasındaki fiyat farklılıklarını ortadan kaldırarak, söz konusu ülkelerin para birimlerinin satın alma gücünü eşitlemekte ve uluslararası gelişmişlik karşılaştırmalarında önemli bir ölçüt olarak karşımıza çıkmaktadır. SGP teorisi uzun dönemde reel döviz kurunun sabit olduğu varsayımına dayanmaktadır.Bu çalışmanın amacı, 1995-2012 döneminde G7 olarak tanımlanan ülkelerde SGP teorisinin geçerliliğinin incelenmesidir. Bu bağlamda, panel veri analizi kapsamında reel döviz kuru serisinin durağanlığı hem birinci nesil hem de ikinci nesil birim kök testleri ile sınanmıştır. Yapılan analiz sonucunda; birinci nesil panel birim kök testi ile reel döviz kurunda birim kökün olmadığı yönünde kanıtlar elde edilirken, ikinci nesil birim kök testleri ile serinin birim kök içerdiği diğer bir ifade ile G7 ülkelerinde SGP teorisinin geçerli olmadığı sonucuna ulaşılmıştır. Validity of Purchasing Power Parity Theory: The Case of G7 AbstractPurchasing Power Parity (PPP), which is an exchange ratio, eliminates price differences between countries, equates the purchasing power of the currencies of these countries, and emerges as an important criterion in the international development comparisons. PPP theory is based on the assumption that the long-term real exchange rate constant.

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“…In the standard I(1)/I(0) framework this includes Corbae and Ouliaris (1988) and Kim (1990), whereas in the fractional setting Cheung and Lai (1993) analysed a fractional version of the PPP model, which has recently been revisited by Gil-Alana and Hualde (2009), who employed the parametric techniques proposed by RH to discuss the plausibility of the absolute or homogeneous version of the PPP. Basically, these authors justified the fractionally cointegrated bivariate model…”

Section: Empirical Examplementioning

confidence: 99%

Semiparametric inference in multivariate fractionally cointegrated systems

Hualde

Robinson

2010

Journal of Econometrics

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a b s t r a c tA semiparametric multivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two estimates of the vector of cointegrating parameters ν are considered. One involves inverse spectral weighting and the other is unweighted but uses a spectral estimate at frequency zero. Both corresponding Wald statistics for testing linear restrictions on ν are shown to have a standard null χ 2 limit distribution under quite general conditions. Notably, this outcome is irrespective of whether cointegrating relations are ''strong'' (when the difference between integration orders of observables and cointegrating errors exceeds 1/2), or ''weak'' (when that difference is less than 1/2), or when both cases are involved. Finite-sample properties are examined in a Monte Carlo study and an empirical example is presented.

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Purchasing Power Parity in the Long Run: A Cointegration Approach

Cited by 264 publications

References 33 publications

The Purchasing Power Parity Hypothesis: Is there evidence from the Bilateral Real Exchange Rate between Mexico and the United States of America?

The Purchasing Power Parity Hypothesis: Is there evidence from the Bilateral Real Exchange Rate between Mexico and the United States of America?

Satın Alma Gücü Paritesi Teorisinin Geçerliliği: G7 Örneği

Semiparametric inference in multivariate fractionally cointegrated systems

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