Advanced Search
MyIDEAS: Login

Does purchasing power parity work?

Contents:

Author Info

  • Darby, Michael R.

Abstract

The logarithm of the purchasing power ratio (PPR) is shown for seven countries and three alternative price indices to follow a stationary and invertible process in the first differences. This means that permanent shifts in the parity value accumulate over time. Therefore, as the prediction interval lengthens, the variance of the level of the PPR goes towards infinity while the variance of its average growth rate goes to zero. Since the variance of the permanent shifts is substantial: (1) Harmonized money growth cannot maintain constant exchange rates; reserve flows feedback is required. (2) Economic explanations of the permanent shifts are an important research topic.

(This abstract was borrowed from another version of this item.)

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Federal Reserve Bank of San Francisco in its journal Proceedings.

Volume (Year): (1981)
Issue (Month): 5 ()
Pages: 136-173

as in new window
Handle: RePEc:fip:fedfpr:y:1981:p:136-173

Contact details of provider:
Postal: P.O. Box 7702, San Francisco, CA 94120-7702
Phone: (415) 974-2000
Fax: (415) 974-3333
Email:
Web page: http://www.frbsf.org/
More information through EDIRC

Order Information:
Email:

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," Center for International and Development Economics Research (CIDER) Working Papers C95-052, University of California at Berkeley.
  2. Katja Funke & Isabell Koske, 2008. "Does the Law of One Price Hold within the EU? A Panel Analysis," International Advances in Economic Research, Springer, vol. 14(1), pages 11-24, February.
  3. Gouriéroux, Christian & Peaucelle, Irina, 1992. "Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 283-304, mars et j.
  4. Phiri, Andrew, 2014. "Purchasing power parity (PPP) between South Africa and her main currency exchange partners: Evidence from asymmetric unit root tests and threshold co-integration analysis," MPRA Paper 53659, University Library of Munich, Germany.
  5. Sundar, Cuddalore & Varela, Oscar & Naka, Atsuyuki, 1997. "Black market and official exchange rates, cointegration and purchasing power parity in developing Asian countries," Global Finance Journal, Elsevier, vol. 8(2), pages 221-238.
  6. Ronald MacDonald, 1985. "Are deviations from purchasing power parity efficient? Some further answers," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 121(4), pages 638-645, December.
  7. Kamrul Hassan & Ruhul Salim, 2011. "The linkage between relative population growth and purchasing power parity: Cross country evidence," International Journal of Development Issues, Emerald Group Publishing, vol. 10(2), pages 154-169, July.
  8. Craig S. Hakkio, 1982. "A Reexamination of Purchasing Power Parity: A Multicountry and Multiperiod Study," NBER Working Papers 0865, National Bureau of Economic Research, Inc.
  9. Daniel Gros, 1989. "On the volatility of exchange rates: Tests of monetary and portfolio balance models of exchange rate determination," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 273-295, June.
  10. Charles Pigott, 1981. "The influence of real factors on exchange rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 37-54.
  11. John Pippenger, 1986. "Arbitrage and efficient markets interpretations of purchasing power parity: theory and evidence," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 31-47.
  12. Mauro S. Ferreira, 2007. "Capturing asymmetry in real exchange rate with quantile autoregression," Textos para Discussão Cedeplar-UFMG td306, Cedeplar, Universidade Federal de Minas Gerais.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fip:fedfpr:y:1981:p:136-173. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Diane Rosenberger).

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.