Testing Purchasing Power Parity for the New EU Members and Turkey : Panel Cointegration Analysis with Disaggregated CPI
AbstractThis study applies multivariate panel cointegration technique to evaluate PPP hypothesis by using consumer price sub-indices of new EU member transition economies and Turkey. We aim not only to compare parameter estimates across the sectors of an economy but also across the economies at different EU transition stages. We find that failure to get evidence for cointegration to support PPP can be attributed to the inclusion of non-tradable goods in the aggregated data, as well as to the extent of trade relationship.
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Bibliographic InfoArticle provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.
Volume (Year): 11 (2011)
Issue (Month): 2 ()
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More information through EDIRC
Purchasing Power Parity; Panel cointegration; European Union; Transition economies; Turkey;
Find related papers by JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- F15 - International Economics - - Trade - - - Economic Integration
- F31 - International Economics - - International Finance - - - Foreign Exchange
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