Re-examining long-run purchasing power parity

Article Abstract:

A novel approach was used to reexamine long-run purchasing power parity. The method emphasized the information content of the data in distinguishing between the competing processes. The results were in agreement with previous findings indicating real exchange rates as stationary processes. Findings indicated that two processes, namely estimated stationary and non-stationary specifications, can be distinguished in the time series of the 134-year-long annual real exchange rate series between the UK and the US.

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Purchasing power parity and unit root tests using panel data

Article Abstract:

The validity of purchasing power parity in exchange rate determination was investigated through unit root tests of real exchange rates using panel data. Panel analysis was employed to raise the power of unit root tests. The results showed that evidence indicating PPP for countries belonging to the Group of Six and Organization for Economic Cooperation and Development was obtained for the flexible exchange rate period as the power of the unit test is increased.

Usage, International finance, Panel analysis

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Cointegration tests of purchasing power parity: the case of Swiss exchange rates

Article Abstract:

An analysis of purchasingpower parity (PPP) under long-term equilibrium conditions is presented. The analysis focuses on the long-term relationship between exchange rates and wholesale price indices by applying cointegration tests. The method of testing varies from previous studies by including more precise data pretests and by eliminating the a priori conditions. It is shown that seven of the nine Swiss exchange rates exhibited cointegration.

International trade, Swiss, Swiss (European people)

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