Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity

被引：34
|
作者：
Culver, SE
Papell, DH [1 ]
机构：
[1] Univ Houston, Dept Econ, Houston, TX 77204 USA
[2] Univ Alabama, Dept Econ, UAB Stn, Birmingham, AL 35294 USA
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1999年 / 18卷 / 05期
关键词：
purchasing power parity; nominal exchange rates; real exchange rates; cointegration; stationary null hypothesis;
D O I：
10.1016/S0261-5606(99)00028-5
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate long-run Purchasing Power Parity with data from the current floating exchange rate period by using tests where stationarity and cointegration are the null, rather than the alternative, hypotheses. In most cases, we cannot reject either the null hypothesis of stationarity of the real exchange rate or the null of cointegration between the nominal exchange rate and the domestic and foreign price levels. This constitutes evidence of long-run Purchasing Power Parity because, using the same tests, we can reject the null of stationarity for the nominal exchange rate. Confirmation of the results is provided by a Monte Carlo study. (C) 1999 Elsevier Science Ltd. All rights reserved.
引用
收藏
页码：751 / 768
页数：18
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