Walter Enders () (Department of Economics, Finance and Legal Studies, Culverhouse College of Business, University of Alabama) Selahattin Dibooglu () (Department of Economics, Southern Illinois University at Carbondale)
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Tests of purchasing power parity (PPP) that use panel data are more supportive of the theory than are bilateral tests. The article uses threshold cointegration to explore long-run PPP. Using data from the post-Bretton Woods period, we show that cointegration with threshold adjustment holds for a number of European countries on a bilateral basis. Focusing on France and Germany as base countries, we show that the error-correction model has important nonlinear characteristics in that prices and the exchange rate have markedly different adjustment patterns for positive gaps from PPP than negative gaps.
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Volume (Year): 68 (2001) Issue (Month): 2 (October) Pages: 433-445 Download reference. The following formats are available: HTML
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