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The overvaluation of purchasing power parity
Journal of International Economics, 1998Abstract Recent panel studies of purchasing power parity have reported strong evidence of mean-reversion in real exchange rates. However, these studies fail to control for cross-sectional dependence in the data. This failure has dramatic consequences, raising the significance level of tests with a nominal size of 5 percent to as much as 50 percent ...
P. O'Connell
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Cointegration and Tests of Purchasing Power Parity
The Review of Economics and Statistics, 1988Nonstationarity in the levels of spot exchange rates and domestic and foreign price indices makes the use of conventional tests of the absolute version of purchasing power parity (PPP) inappropriate. If PPP is true, inter-country commodity arbitrage ensures that deviations from a linear combination of spot exchange rates and domestic and foreign price ...
Corbae, Dean, Ouliaris, Sam
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The impact of estimated sub-national purchasing power parity on macroeconomic measures
Statistical Journal of the IAOS, 2022Due to the lack of Purchasing Power Parities (PPPs) at sub-national level, regional Gross Domestic Product (GDP) figures have been traditionally adjusted using national PPPs. The simplifying assumption that there are no regional differences in a country,
Àlex Costa +4 more
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An alternative test of purchasing power parity
Economics Letters, 2006Abstract The Fisher and Seater [Fisher, M.E. and Seater, J.J., 1993. Long run neutrality and superneutrality in an ARIMA framework. American Economic Review 83, 402–415.] methodology is applied to Taylor's [Taylor, A.T., 2002. A century of purchasing power parity.
Wallace, Frederick, Shelley, Gary L.
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On the Purchasing Power Parity of the Georgian Lari and the Soviet Ruble
Proceedings of Multidisciplinary International Scientific Conference: Sustainable Development, Institutions, and Global ChallengesThe collapse of the Soviet Union in the early 1990s, followed by Georgia’s independence and transition to a market economy, marked a significant turning point in the country’s economic history.
Joseph Archvadze
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Journal of International Trade and Economic Development, 2021
The purchasing power parity (PPP) hypothesis represents one of the oldest existing economic doctrines and is plagued with empirical inconsistencies collectively labelled as ‘puzzles’.
David de Villiers, A. Phiri
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The purchasing power parity (PPP) hypothesis represents one of the oldest existing economic doctrines and is plagued with empirical inconsistencies collectively labelled as ‘puzzles’.
David de Villiers, A. Phiri
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Exchange Rate Risk and Deviations From Purchasing Power Parity
International Journal of Finance & EconomicsThis paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk
M. Arghyrou +2 more
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Extrapolations of Purchasing Power Parities
1990Publisher Summary This chapter presents the results of various experiments in extrapolating purchasing power parities to help define a procedure for obtaining annual estimates of the products of the Latin American countries expressed in a common currency.
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CATEGORISATION OF ADDITIVE PURCHASING POWER PARITIES
Review of Income and Wealth, 1999Additivity is an important property for the aggregation methods used in constructing purchasing power parities. For a practical definition of additivity, this paper categorises all aditive methods. First of all, a generalisation of the Geary‐Khamis method of aggregation is defined: this is called the Generalised Geary‐Khamis, (GGK), approach.
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An Alternative Version of Purchasing Power Parity
International Journal of Finance & Economics, 2019AbstractA vast literature on Purchasing Power Parity (PPP) has evolved and PPP has become the most popular concept in international finance. PPP is applied with various price indices such as consumer price index, wholesale price index, etc. In this article, we introduce a revised version of PPP equation for financial products, which is strongly ...
Dinçer Afat, Michael Frömmel
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