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PPP May not Hold for Agricultural Commodities

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Author Info
Luciano Gutierrez (The University of Sassari)

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Abstract

We use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in the panel, are used. Properties of unit roots and panel tests are analyzed by Monte Carlo simulation. Summarizing, our results show that during the post-Bretton-Woods period of flexible exchange rates, PPP does not hold for agricultural commodities.

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File URL: http://129.3.20.41/eps/it/papers/0309/0309022.pdf
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Publisher Info
Paper provided by EconWPA in its series International Trade with number 0309022.

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Date of creation: 23 Sep 2003
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Handle: RePEc:wpa:wuwpit:0309022

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Web page: http://129.3.20.41

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Related research
Keywords: Key words : Purchasing Power Parity; Agricultural Commodities; Monte Carlo; Unit Root tests; Panel unit root tests.;

Find related papers by JEL classification:
F14 - International Economics - - Trade - - - Country and Industry Studies of Trade
F31 - International Economics - - International Finance - - - Foreign Exchange
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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