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Testing purchasing power parity in the presence of transaction costs

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  • Michael Pippenger
  • John Geppert

Abstract

This paper examines long-run purchasing power parity (PPP) using a new formulation of PPP in the presence of transaction costs. Our results strongly support the proposition that PPP holds as a long-run equilibrium condition.

Suggested Citation

  • Michael Pippenger & John Geppert, 1997. "Testing purchasing power parity in the presence of transaction costs," Applied Economics Letters, Taylor & Francis Journals, vol. 4(10), pages 611-614.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:10:p:611-614
    DOI: 10.1080/758533284
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    Cited by:

    1. Laurence Copeland & Saeed Heravi, 2009. "Structural breaks in the real exchange rate adjustment mechanism," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 121-134.
    2. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    3. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
    4. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.

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