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  • 1
    Electronic Resource
    Electronic Resource
    Purchasing Power Parity When Prices Are I(2) (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper examines the purchasing power parity (PPP) hypothesis over the modern float using data on 15 OECD currencies. Evidence is presented that suggests the price levels evolve as second-difference stationary processes, i.e., integrated of order two (P1– I(2)). A necessary condition for PPP when prices are I(2) is that prices are cointegrated across countries to an I(1) relative price. In general this relative price is not the same as the simple price ratio. For some of the relationships examined, this relative price level is cointegrated with the exchange rate, implying a long-run equilibrium between nominal exchange rates and prices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00099.x
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    A Reexamination of Long-Run PPP: The Case of Canada, the UK, and the US (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The inherent nonstationarity of the variables has led many researchers to use unit root and cointegration methodologies to analyze the PPP hypothesis. The imposition of proportionality and symmetry restrictions has been a common practice yet no explicit hypothesis tests have been conducted to determine the validity of such restrictions. Few of the studies have dealt with the presence of deterministic trends in the data. This study uses a long span of data and explicitly tests the proportionality and symmetry restrictions implied by PPP. A careful treatment of the role of deterministic trends in the data is also included.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00084.x
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    Paper (German National Licenses)
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