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Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

Author

Listed:
  • Jingfei Wu

    (Shanghai University)

  • Mohsen Bahmani-Oskooee

    (University of Wisconsin-Milwaukee)

  • Tsangyao Chang

    (Feng Chia University)

Abstract

This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999). Using monthly data over the 1971M1–2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).

Suggested Citation

  • Jingfei Wu & Mohsen Bahmani-Oskooee & Tsangyao Chang, 2018. "Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 187-196, February.
    • Handle: RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9355-1
    DOI: 10.1007/s10663-016-9355-1
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    References listed on IDEAS

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    More about this item

    Keywords

    Purchasing power parity; G6 Countries; Smooth time-varying cointegration test;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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