Examining world-wide purchasing power parity
We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period 1930–1996 using multivariate cointegration techniques. Bilateral PPP between the four countries is examined in one system (as opposed to e.g. series of trivariate systems). In all of the statistical analysis, asymptotic tests are augmented by parametric bootstrap analogues, whereby we reduce, if not eliminate, the size distortion typically present in small-sample studies. The cointegration analysis provides support for the necessary conditions for PPP (i.e. cointegrating relations are found) but not for the sufficient conditions (i.e., the coefficients in the cointegrating relations are far from what PPP predicts). These results are at odds with results from other studies that also analyze long-horizon data sets. Copyright Springer-Verlag 2004
Volume (Year): 29 (2004)
Issue (Month): 3 (09)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/econometrics/journal/181/PS2|
When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:29:y:2004:i:3:p:463-476. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.