Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis
AbstractIn this paper I show that cointegration tests of PPP using aggregate price indexes are not always robust to changes in relative prices. I offer a method of gauging the importance of these effects and find them to be unimportant in recent rejections of PPP.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 36 (1991)
Issue (Month): 3 ()
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- Rogers, John H. & Jenkins, Michael, 1995.
"Haircuts or hysteresis? Sources of movements in real exchange rates,"
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- Rogers, J.H. & Jenkins, M.A., 1993. "Haircuts or Hysteresis? Sources of Movements in Real Exchange Rates," Papers 4-93-6, Pennsylvania State - Department of Economics.
- Xu, Zhenhui, 2003. "Purchasing power parity, price indices, and exchange rate forcasts," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 105-130, February.
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