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Purchasing Power Parity and Interest Parity in the Laboratory
Purchasing Power Parity and Interest Parity in the Laboratoryopenaire
, 1987 The paper is a survey of PPP theory and evidence prepared for the New Palgrave dictionary of economics. Following a statement of the absolute and relative versions of the theory, there is a brief sketch of the history of thought with emphasis on Cassel and the monetary approach. A theoretical part distinguishes structural and transitory deviations from
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Risk and Parity in Purchasing Power
Journal of Money, Credit and Banking, 1990Deviations from purchasing power parity in efficient markets are often attributed to time-varying risk premiums. Some models have also identified the risk premiums to be the expected real interest rate differentials. This paper shows that risk premiums generally are not equal to ex ante real rate differentials.
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Economics Letters, 1990
Abstract This paper examines the purchasing power parity (henceforth PPP) using historical data and the cointegration approach. The results indicate that the exchange rate is cointegrated with the Wholesale Price Index (WPI) ratio but not with the Consumer Price Index (CPI) ratio. The cointegrating vector is close to (0, –1).
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Abstract This paper examines the purchasing power parity (henceforth PPP) using historical data and the cointegration approach. The results indicate that the exchange rate is cointegrated with the Wholesale Price Index (WPI) ratio but not with the Consumer Price Index (CPI) ratio. The cointegrating vector is close to (0, –1).
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Review of International Economics, 2003
AbstractThe paper provides a selective and critical review of the literature on purchasing power parity and real exchange rates, with special reference to the literature of the last two decades.
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AbstractThe paper provides a selective and critical review of the literature on purchasing power parity and real exchange rates, with special reference to the literature of the last two decades.
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Purchasing Power Parity in the Long Run
The Journal of Finance, 1990ABSTRACTThis paper re‐examines the evidence on Purchasing Power Parity (PPP) in the long run. Previous studies have generally been unable to reject the hypothesis that the real exchange rate follows a random walk. If true, this implies that PPP does not hold. In contrast, this paper casts serious doubt on this random walk hypothesis. The results follow
Abuaf, Niso, Jorion, Philippe
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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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Is there trend reversion in purchasing power parity?
European Economic Review, 1991Abstract This study presents some empirical evidence on purchasing power parity (PPP) using residualbased co-integration tests. Engle and Granger's (1987) tests and the ratio of the variance of higher-order differences to the variance of the first difference of the residuals of the cointegrating regression are used.
Ardeni P. G., Lubian D.
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