Testing Proportionality, Symmetry and Exclusiveness in Long-run PPP
AbstractPresent some empirical evidence on long-run Purchasing Power Parity (PPP) using a sample of annual data covering the period 1900-1987. Three exchange rates are used in the analysis: the dollar, yen and French franc against the pound. It is shown that PPP does hold in the long run and that is some evidence for the proportionality and symmetry restrictions. Evidence for exclusiveness is mixed and the results are influenced by model specification. Estimates of error-correction models show that there are substantial short-run deviation from PPP that take two to three years to correct.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 21 (1994)
Issue (Month): 3 (September)
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Web page: http://www.emeraldinsight.com
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- Stephen Hall & George Hondroyiannis & Amangeldi Kenjegaliev & P.A.V.B. Swamy & George S. Tavlas, 2013.
"Is the Relationship Between Prices and Exchange Rates Homogeneous?,"
Discussion Papers in Economics
13/13, Department of Economics, University of Leicester.
- Hall, Stephen G. & Hondroyiannis, George & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S., 2013. "Is the relationship between prices and exchange rates homogeneous?," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 411-438.
- 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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