SEASONALITY, COINTEGRATION AND THE LONG-RUN PURCHASING POWER PARITY - EVIDENCE FOR STERLING EXCHANGE-RATES

被引：8

作者：

SARANTIS, N

STEWART, C

机构：

[1] School of Economics, Kingston University, Kingston-upon-Thumes, Penrhyn Road

来源：

APPLIED ECONOMICS | 1993年 / 25卷 / 02期

关键词：

D O I：

10.1080/00036849300000030

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The long-run purchasing power parity (PPP) hypothesis is tested for nine bilateral sterling exchange rates, using recently developed techniques on cointegration and seasonal integration. The empirical findings show that none of the exchange rates and relative prices contain seasonal unit roots, but all have an autoregressive unit root. The cointegration tests overwhelmingly reject the PPP hypothesis as a long-run equilibrium condition for all countries concerned.

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页码：243 / 250

页数：8

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