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Purchasing power parity, unit roots, and dynamic structure

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  • Steigerwald, Douglas G.

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  • Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February.
    • Handle: RePEc:eee:empfin:v:2:y:1996:i:4:p:343-357
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    1. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1252-1271, December.
    2. Enders, Walter, 1989. "Unit roots and the real exchange rate before World War I: the case of Britain and the USA," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 59-73, March.
    3. Corbae, Dean & Ouliaris, Sam, 1991. "A Test of Long-Run Purchasing Power Parity Allowing for Structural Breaks," The Economic Record, The Economic Society of Australia, vol. 67(196), pages 26-33, March.
    4. Kim, Yoonbai, 1990. "Purchasing Power Parity in the Long Run: A Cointegration Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(4), pages 491-503, November.
    5. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
    6. Baillie, Richard T. & Pecchenino, Rowena A., 1991. "The search for equilibrium relationships in international finance: the case of the monetary model," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 582-593, December.
    7. Baillie, Richard T. & Selover, David D., 1987. "Cointegration and models of exchange rate determination," International Journal of Forecasting, Elsevier, vol. 3(1), pages 43-51.
    8. Michael R. Darby, 1983. "Movements in Purchasing Power Parity: The Short and Long Runs," NBER Chapters, in: The International Transmission of Inflation, pages 462-477, National Bureau of Economic Research, Inc.
    9. Frenkel, Jacob A., 1981. "The collapse of purchasing power parities during the 1970's," European Economic Review, Elsevier, vol. 16(1), pages 145-165.
    10. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
    11. Donald N. McCloskey & J. Richard Zecher, 1984. "The Success of Purchasing-Power Parity: Historical Evidence and Its Implications for Macroeconomics," NBER Chapters, in: A Retrospective on the Classical Gold Standard, 1821-1931, pages 121-172, National Bureau of Economic Research, Inc.
    12. Lothian, James R., 1990. "A century plus of Yen exchange rate behavior," Japan and the World Economy, Elsevier, vol. 2(1), pages 47-70, March.
    13. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, vol. 28(1-2), pages 115-136, February.
    14. Peter C. B. Phillips & Mico Loretan, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 407-436.
    15. Grilli, Vittorio & Kaminsky, Graciela, 1991. "Nominal exchange rate regimes and the real exchange rate : Evidence from the United States and Great Britain, 1885-1986," Journal of Monetary Economics, Elsevier, vol. 27(2), pages 191-212, April.
    16. Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    17. Cheung, Yin-Wong & Lai, Kon S., 1993. "Long-run purchasing power parity during the recent float," Journal of International Economics, Elsevier, vol. 34(1-2), pages 181-192, February.
    18. Hakkio, Craig S., 1984. "A re-examination of purchasing power parity : A multi-country and multi-period study," Journal of International Economics, Elsevier, vol. 17(3-4), pages 265-277, November.
    19. David R. Johnson, 1990. "Co-integration, Error Correction, and Purchasing Power Parity between Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, vol. 23(4), pages 839-855, November.
    20. Adler, Michael & Lehmann, Bruce, 1983. "Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 38(5), pages 1471-1487, December.
    21. Meese, Richard A & Singleton, Kenneth J, 1982. "On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-1035, September.
    22. Krugman, Paul R., 1978. "Purchasing power parity and exchange rates : Another look at the evidence," Journal of International Economics, Elsevier, vol. 8(3), pages 397-407, August.
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    Cited by:

    1. Edison, Hali J. & Gagnon, Joseph E. & Melick, William R., 1997. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 1-17, February.
    2. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, AccessEcon, vol. 6(2), pages 1-11.
    3. Shively, Philip A., 2001. "A test of long-run purchasing power parity," Economics Letters, Elsevier, vol. 73(2), pages 201-205, November.
    4. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236.
    5. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    6. Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 199-212, June.
    7. 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, vol. 4(3), pages 274-286.
    8. Emmanuel Anoruo & Habtu Braha & Yusuf Ahmad, 2002. "Purchasing power parity: Evidence from developing Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(2), pages 85-96, May.
    9. Irfan Civcir, 2003. "Before the Fall, Was the Turkish Lira Overvalued?," Eastern European Economics, Taylor & Francis Journals, vol. 41(2), pages 69-99, March.
    10. Simón Sosvilla-Rivero & Emma García, "undated". "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA.
    11. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Did Purchasing Power Parity Hold in Medieval Europe?," Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
    12. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October.
    13. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    14. repec:ebl:ecbull:v:6:y:2003:i:2:p:1-11 is not listed on IDEAS
    15. Culver, Sarah E. & Papell, David H., 1999. "Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 751-768, October.
    16. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    17. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
    18. repec:kap:iaecre:v:8:y:2002:i:2:p:85-96 is not listed on IDEAS
    19. Mathias Moersch & Dieter Nautz, 2001. "A note on testing the monetary model of the exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 261-268.

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