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Purchasing power parity: Evidence of long memory processes and fractional integration [PDF]
Decision Science Letters, 2015 The Purchasing Power Parity (PPP) theory, which serves as a key to the determination of several models of exchange rates, suggests a long-term relationship between exchange rates and relative prices.
Nadhem Selmi, Nejib Hachicha
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Parity Reversion of Absolute Purchasing Power Parity
DEStech Transactions on Economics and Management, 2016 In this paper, we study the parity reversion of 40 main bilateral real exchange rates (RERs) constructed by actual price levels to be consistent with absolute purchasing power parity (PPP), rather than by price indexes as used in popular studies. The time series ADF and KPSS unit root tests reveal that 39 RERs are stationary in their periods of about ...
Zhi-bai ZHANG, Zhi-cun BIAN
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Scientific African, 2023 One of the most effective ideas for comparing the values of two or more currencies is the purchasing power parity hypothesis (PPP). Most earlier works on PPP focused on using the standard cointegration approach by assuming a unit root for the observed ...
Saidat Fehintola Olaniran +1 more
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American Journal of Theoretical and Applied Business, 2023 : Amidst the expansion of the global economy and Vietnam's growing integration into the international arena, the country has formed substantial trade relations with a diverse range of nations across the globe. As a result, it is crucial to comprehend and
Vo Thi Quy +3 more
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Persistence of real exchange rates in the Central and Eastern European countries
Journal of Business Economics and Management, 2016 We investigate the mean reversion in real exchange rates for Central and Eastern European countries. We use point and confidence interval estimates from the Phillips et al.’s (2001) local-persistent model as our preferred measures of the persistence of ...
Ahmad Zubaidi Baharumshah +3 more
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Journal of Computational Innovation and Analytics (JCIA), 2023 This paper examined the purchasing power parity (PPP) theory for a group of sixteen developed countries using powerful statistical panel data methods that account for cross-sectional dependence.
N. M. Choji, S. Sek
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Purchasing power parity in Mexico since 1933
Latin American Economic Review, 2017 A new approach to cointegration developed by Enders et al. (Cointegration tests using instrumental variables with an example of the U.K. demand for money. Unpublished working paper.
Frederick H. Wallace
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The Micro-Macro Disconnect of Purchasing Power Parity [PDF]
Federal Reserve Bank of San Francisco, Working Paper Series, 2010 Abstract This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Error correction model estimates indicate that a different mix of shocks drives international price deviations at the microeconomic level and that dynamic adjustment works through arbitrage ...
Paul R. Bergin, Reuven Glick, Jyh-Lin Wu
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The ASEAN experience of the purchasing power parity theory
Financial Innovation, 2018 We used panel data analysis to evaluate the relative purchasing power parity (PPP) hypothesis of the ten ASEAN member countries between 1973 and 2015.
S. M. Woahid Murad +1 more
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Pass-through of exchange rates and purchasing power parity [PDF]
Journal of International Economics, 1997 Abstract In this paper we develop and test two hypotheses about purchasing power parity (PPP). The first is that changes in the price of traded goods relative to domestic substitutes will affect the PPP relation, due to the partial pass-through of exchange rates.
Robert C. Feenstra, Jon D. Kendall
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