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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 21 (1994)
Issue (Month): 3 (September)
Contact details of provider:
Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
- Chen Kuo, 2013. "Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 1923-1941, June.
- Yevheniya Hyrina & Apostolos Serletis, 2010. "Purchasing power parity over a century," Journal of Economic Studies, Emerald Group Publishing, vol. 37(1), pages 117-144, January.
- Guneratne Banda Wickremasinghe, 2004. "The Sri Lankan Rupee and Purchasing Power Parity during the Current Floating Period," International Trade 0406005, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jade Turvey).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.