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Exchange rate uncertainty and deviations from Purchasing Power Parity: Evidence from the G7 area

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Author Info
Arghyrou, Michael G () (Cardiff Business School)
Gregoriou, Andros
Pourpourides, Panayiotis M. () (Cardiff Business School)

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Abstract

Arghyrou, Gregoriou and Pourpourides (2009) argue that exchange rate uncertainty causes deviations from the law of one price. We test this hypothesis on aggregate data from the G7-area. We find that exchange rate uncertainty explains to a significant degree deviations from Purchasing Power Parity.

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File URL: http://www.cardiff.ac.uk/carbs/econ/workingpapers/papers/E2009_23.pdf
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Publisher Info
Paper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2009/23.

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Length: 14 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:cdf:wpaper:2009/23

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Related research
Keywords: Purchasing power parity; exchange rate uncertainty;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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  2. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-1.

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