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Citations for "Cointegration and Tests of Purchasing Power Parity"

by Corbae, Dean & Ouliaris, Sam

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  1. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  2. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics, Boston College Department of Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
  3. Walter Enders & Kamol Chumrusphonlert, 2004. "Threshold cointegration and purchasing power parity in the pacific nations," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(9), pages 889-896.
  4. Abdul Qayyum & Muhammad Arshad Khan & Khair-U-Zaman, 2004. "Exchange Rate Misalignment in Pakistan: Evidence from Purchasing Power Parity Theory," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 43(4), pages 721-735.
  5. G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  6. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 881, Cowles Foundation for Research in Economics, Yale University.
  7. Benjamin Cheng, 1997. "The causality between dollar and pound: An application of cointegration and error-correction modeling," Journal of Economics and Finance, Springer, Springer, vol. 21(2), pages 19-26, June.
  8. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 1999. "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(4), pages 359-376, November.
  9. Salehizadeh, Mehdi & Taylor, Robert, 1999. "A test of purchasing power parity for emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(2), pages 183-193, April.
  10. Shively, Philip A., 2001. "A test of long-run purchasing power parity," Economics Letters, Elsevier, Elsevier, vol. 73(2), pages 201-205, November.
  11. Amalia Zumaquero & Rodrigo Urrea, 2002. "Purchasing Power Parity: Error Correction Models and Structural Breaks," Open Economies Review, Springer, Springer, vol. 13(1), pages 5-26, January.
  12. Kakkar, Vikas & Yan, Isabel, 2014. "Determinants of real exchange rates: An empirical investigation," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 1/2014, Bank of Finland, Institute for Economies in Transition.
  13. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  14. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, Elsevier, vol. 46(2), pages 281-312, December.
  15. David Barlow & Roxana Radulescu, 2002. "Purchasing Power Parity in the Transition: The Case of the Romanian Leu Against the Dollar," Post-Communist Economies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(1), pages 123-135.
  16. Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
  17. Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers, University of California, Davis, Department of Economics 46, University of California, Davis, Department of Economics.
  18. Roger Guerra, 2003. "Nonlinear adjustment towards purchasing power parity: the Swiss Franc-German Mark case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 83-100, March.
  19. Christev, Atanas & Noorbakhsh, Abbas, 2000. "Long-run purchasing power parity, prices and exchange rates in transition: The case of six Central and East European countries," Global Finance Journal, Elsevier, vol. 11(1-2), pages 87-108.
  20. Hamid Baghestani, 1997. "Purchasing power parity in the presence of foreign exchange black markets: the case of India," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(9), pages 1147-1154.
  21. Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane, 1999. "Multivariate unit root tests of the PPP hypothesis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(4), pages 335-353, October.
  22. Ritesh Kumar Mishra & Sanjay Sehgal, 2011. "Exchange rates and prices in purchasing power parity framework: Are bilateral real exchange rates stationary?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 4(3), pages 274-286.
  23. Phiri, Andrew, 2014. "Purchasing power parity (PPP) between South Africa and her main currency exchange partners: Evidence from asymmetric unit root tests and threshold co-integration analysis," MPRA Paper 53659, University Library of Munich, Germany.
  24. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, Elsevier, vol. 169(2), pages 155-165.
  25. Bahmani-Oskooee, Mohsen, 1998. "Do exchange rates follow a random walk process in Middle Eastern countries?," Economics Letters, Elsevier, Elsevier, vol. 58(3), pages 339-344, March.
  26. Chen, Show-Lin & Wu, Jyh-Lin, 2000. "A Re-Examination of Purchasing Power Parity in Japan and Taiwan," Journal of Macroeconomics, Elsevier, Elsevier, vol. 22(2), pages 271-284, April.
  27. Sarno, Lucio & Taylor, Mark P, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2913, C.E.P.R. Discussion Papers.
  28. Murat Doğanlar, 2006. "Long-run validity of Purchasing Power Parity and cointegration analysis for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(7), pages 457-461.
  29. repec:ebl:ecbull:v:6:y:2003:i:2:p:1-11 is not listed on IDEAS
  30. Marattin, Luigi & Salotti, Simone, 2011. "Productivity and per capita GDP growth: The role of the forgotten factors," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1219-1225, May.
  31. Luis A. Gil-Alana & Jiang Liang, 2010. "The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 13/11, School of Economics and Business Administration, University of Navarra.
  32. Quan Hoang Vuong, 2003. "Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium," Working Papers CEB, ULB -- Universite Libre de Bruxelles 03-013.RS, ULB -- Universite Libre de Bruxelles.
  33. Tsung-Wu Ho, 2002. "Searching Stationarity in the Real Exchange Rates: Application of the SUR Estimator," Open Economies Review, Springer, Springer, vol. 13(3), pages 275-289, July.
  34. Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2014. "Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 1-12, Feburary.
  35. Henri Lorie & Kiran Younas Khan, 2006. "What Determines the Domestic Prices of Agricultural Commodities in Pakistan?," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 45(4), pages 667-687.
  36. Baffes, John & Shah, Anwar, 1990. "Taxing choices in deficit reduction," Policy Research Working Paper Series, The World Bank 556, The World Bank.
  37. Chaudhuri, Kausik & Daniel, Betty C., 1998. "Long-run equilibrium real exchange rates and oil prices," Economics Letters, Elsevier, Elsevier, vol. 58(2), pages 231-238, February.
  38. M. Ryan Haley & Harry J. Paarsch, 2004. "The stochastic implications of rent maximization: an application to stumpage rates for timber in British Columbia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(1), pages 25-48.
  39. Tamás Dusek, 2008. "Methodological Monism in Economics," The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, Bucharest Academy of Economic Studies, The Journal of Philosophical Economics, vol. 1(2), pages 26-50, March.
  40. Su Zhou, 1993. "Fundamental equilibrium exchange rates and exchange rate dynamics," Open Economies Review, Springer, Springer, vol. 4(2), pages 189-209, June.
  41. Wu, Jyh-Lin & Chen, Show-Lin, 1997. "Can nominal exchange rates be differenced to stationarity?," Economics Letters, Elsevier, Elsevier, vol. 55(3), pages 397-402, September.
  42. Venus Khim-Sen Liew, 2003. "The Validity of PPP Revisited: An Application of Non-linear Unit Root Test," International Finance, EconWPA 0308001, EconWPA.
  43. Fabrizio Iacone & Peter M. Robinson, 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2232, London School of Economics and Political Science, LSE Library.
  44. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
  45. Darbha, Gangadhar & Patel, Urjit R., 2004. "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 04-1, University of Pennsylvania, Wharton School, Weiss Center.
  46. Kawai, Masahiro & Ohara, Hidetaka, 1997. "Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 523-547, December.
  47. Selahattin Dibooglu & Faik Koray, 2001. "The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes," Open Economies Review, Springer, Springer, vol. 12(2), pages 123-143, April.
  48. Tatsuyoshi Okimoto & Katsumi Shimotsu, 2007. "Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity," Working Papers, Queen's University, Department of Economics 1138, Queen's University, Department of Economics.
  49. Bahmani-Oskooee, Mohsen & Tankui, Altin, 2008. "The black market exchange rate vs. the official rate in testing PPP: Which rate fosters the adjustment process?," Economics Letters, Elsevier, Elsevier, vol. 99(1), pages 40-43, April.
  50. Chiu, Ru-Lin, 2002. "Testing the purchasing power parity in panel data," International Review of Economics & Finance, Elsevier, Elsevier, vol. 11(4), pages 349-362.
  51. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, Elsevier, vol. 5(2), pages 125-147.
  52. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 880, Cowles Foundation for Research in Economics, Yale University.
  53. Enders, Walter & Lee, Bong-Soo, 1997. "Accounting for real and nominal exchange rate movements in the post-Bretton Woods period," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(2), pages 233-254, April.
  54. Hali J. Edison & Eric Fisher, 1989. "A long-run view of the european monetary system," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 339, Board of Governors of the Federal Reserve System (U.S.).
  55. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(2-3), pages 333-352, September.
  56. Cheng, Benjamin S., 1999. "Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(6), pages 911-924, December.
  57. Johnson, Paul A., 1991. "Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis," Economics Letters, Elsevier, Elsevier, vol. 36(3), pages 305-309.
  58. Zurbruegg, R. & Allsopp, L., 2004. "Purchasing power parity and the impact of the East Asian currency crisis," Journal of Asian Economics, Elsevier, Elsevier, vol. 15(4), pages 739-758, August.
  59. Rogers, John H. & Jenkins, Michael, 1995. "Haircuts or hysteresis? Sources of movements in real exchange rates," Journal of International Economics, Elsevier, Elsevier, vol. 38(3-4), pages 339-360, May.
  60. Peter M. Robinson & Javier Hualde, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2223, London School of Economics and Political Science, LSE Library.
  61. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, Springer, vol. 42(3), pages 713-744, June.
  62. G. Booth & Mustafa Chowdhory, 1992. "Canadian foreign exchange policies: Intervention, control, cointegration," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 128(1), pages 21-33, March.
  63. Kalyoncu, Huseyin & Kalyoncu, Kahraman, 2008. "Purchasing power parity in OECD countries: Evidence from panel unit root," Economic Modelling, Elsevier, Elsevier, vol. 25(3), pages 440-445, May.
  64. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(11), pages 3147-3169, November.
  65. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(2), pages 193-215, April.
  66. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, AccessEcon, vol. 6(2), pages 1-11.
  67. Alessandra Pelloni, 1993. "Long-run consequences of finite exchange rate bubbles," Open Economies Review, Springer, Springer, vol. 4(1), pages 5-26, March.
  68. Kamrul Hassan & Ruhul Salim, 2011. "The linkage between relative population growth and purchasing power parity: Cross country evidence," International Journal of Development Issues, Emerald Group Publishing, Emerald Group Publishing, vol. 10(2), pages 154-169, July.
  69. Baffes, John & Gohou, Gaston, 2005. "The co-movement between cotton and polyester prices," Policy Research Working Paper Series, The World Bank 3534, The World Bank.
  70. Vikas Kakkar, 2003. "The Relative Price of Nontraded Goods and Sectoral Total Factor Productivity: An Empirical Investigation," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 85(2), pages 444-452, May.
  71. Selahattin Dibooglu, 1995. "Real Disturbances, Relative Prices, and Purchasing Power Parity," International Finance, EconWPA 9502002, EconWPA.
  72. Kugler, Peter, 1999. "Price level trend-stationarity and the instruments and targets of monetary policy: An empirical note," Economics Letters, Elsevier, Elsevier, vol. 63(1), pages 97-101, April.
  73. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics 01-22, The University of Western Australia, Department of Economics.
  74. Salim Chishti & M. Aynul Hasan, 1993. "What Determines the Behaviour of Real Exchange Rate in Pakistan?," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 32(4), pages 1015-1029.
  75. Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 465, Board of Governors of the Federal Reserve System (U.S.).
  76. Kholdy, Shady & Sohrabian, Ahmad, 1995. "Testing for the relationship between nominal exchange rates and economic fundamentals," Global Finance Journal, Elsevier, vol. 6(2), pages 121-134.
  77. L. Marattin & S. Salotti, 2009. "A Note on Productivity and Per Capita GDP Growth: the Role of the Forgotten Factors," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna 667, Dipartimento Scienze Economiche, Universita' di Bologna.
  78. Adrian Blundell-Wignall & Frank Browne, 1992. "Real Exchange Rates and the Globalisation of Financial Markets," RBA Research Discussion Papers, Reserve Bank of Australia rdp9203, Reserve Bank of Australia.
  79. Snell, Andy, 1996. "A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies," Economics Letters, Elsevier, Elsevier, vol. 51(2), pages 225-231, May.
  80. Azoulay, Eddy & Brenner, Menachem & Landskroner, Yoram & Stein, Roy, 2014. "Inflation risk premium implied by options," Journal of Economics and Business, Elsevier, Elsevier, vol. 71(C), pages 90-102.
  81. Li, Dao & He, Changli, 2012. "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers, Örebro University, School of Business 2012:6, Örebro University, School of Business.
  82. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working Papers, University of Nevada, Las Vegas , Department of Economics 1208, University of Nevada, Las Vegas , Department of Economics.
  83. OKIMOTO, Tatsuyoshi & SHIMOTSU, Katsumi, 2010. "Decline in the Persistence of Real Exchange Rates : But Not Sufficient for Purchasing Power Parity," Discussion Papers, Graduate School of Economics, Hitotsubashi University 2010-06, Graduate School of Economics, Hitotsubashi University.
  84. Goh, Soo Khoon & Mithani, Dawood, 2000. "Deviation from Purchasing Power Parity: Evidence from Malaysia, 1973–1997," MPRA Paper 51922, University Library of Munich, Germany.
  85. Barnett, Richard C. & Ho, Mun S., 1996. "Sunspots, currency substitution, and inflationary finance," Journal of International Economics, Elsevier, Elsevier, vol. 41(1-2), pages 73-93, August.
  86. Nongnuch Tantisantiwong, 2013. "Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee 278, Economic Studies, University of Dundee.
  87. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 263-298.
  88. Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, Elsevier, vol. 8(2), pages 199-212, June.
  89. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings, Econometric Society 316, Econometric Society.
  90. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 492-511, August.
  91. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models," IMF Working Papers, International Monetary Fund 03/111, International Monetary Fund.
  92. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 07/452, Ghent University, Faculty of Economics and Business Administration.
  93. David Bernstein, 2000. "Generalized purchasing power parity and the case of the European Union as a successful currency area," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 28(4), pages 385-395, December.
  94. Minsoo Lee, 2003. "Common Trend and Common Currency: Australiaand New Zealand," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 2(2), pages 155-165, August.
  95. Khan, Muhammad Arshad & Qayyum, Abdul, 2007. "Exchange Rate Determination In Pakistan: Evidence Based On Purchasing Power Parity Theory," MPRA Paper 6754, University Library of Munich, Germany.
  96. Mollick, Andre Varella, 1999. "The real exchange rate in Brazil Mean reversion or random walk in the long run?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 8(1), pages 115-126, January.
  97. A. Mansur & M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(6), pages 593-605.
  98. Javier León & Carlos Oliva, 1992. "Componente no Estacionario y la Paridad del Poder de Compra en 12 Países Latinoamericanos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(88), pages 481-504.
  99. Song, Chi-Young, 1997. "The Real Exchange Rate and the Current Account Balance in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 143-184, June.