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Testing Symmetry and Proportionality in PPP: A Panel-Data Approach

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Author Info
Li, Kai
Abstract

Purchasing power parity (PPP) is a proposition equating the nominal exchange rate to the ratio of the domestic to foreign price levels. This article employs Bayesian panel-data methods to test for PPP, in particular, the implied symmetry and proportionality conditions. Using a dataset of all the Organization for Economic Cooperation and Development member countries in the post-Bretton Woods era, I do not find support for symmetry and proportionality in PPP over time and across countries.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 17 (1999)
Issue (Month): 4 (October)
Pages: 409-18
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Handle: RePEc:bes:jnlbes:v:17:y:1999:i:4:p:409-18

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  1. Paul De Grauwe & Marianna Grimaldi, 2003. "Intervention in the Foreign Exchange Market in a Model with Noise Traders," Working Papers 162003, Hong Kong Institute for Monetary Research. [Downloadable!]
  2. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part III: The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 03-07, The University of Western Australia, Department of Economics. [Downloadable!]
  3. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics. [Downloadable!]
  4. Paul De Grauwe & Marianna Grimaldi, 2002. "The Exchange Rate and its Fundamentals. A Chaotic Perspective," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  5. Marianna Grimaldi & Paul De Grauwe, 2003. "Bubbling and Crashing Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  6. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  7. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
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