Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

被引：12

作者：

Wu, Jingfei ^{[1
]}

Bahmani-Oskooee, Mohsen ^{[2
]}

Chang, Tsangyao ^{[3
]}

机构：

[1] Shanghai Univ, Sch Econ, Shanghai, Peoples R China

[2] Univ Wisconsin Milwaukee, Dept Econ, Ctr Res Int Econ, Milwaukee, WI 53211 USA

[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan

来源：

EMPIRICA | 2018年 / 45卷 / 01期

关键词：

Purchasing power parity; G6; Countries; Smooth time-varying cointegration test; PRODUCTIVITY BIAS HYPOTHESIS; EXCHANGE-RATES; MODEL; REGRESSIONS; EQUILIBRIUM; ADJUSTMENT; TESTS;

D O I：

10.1007/s10663-016-9355-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664-703, 1999). Using monthly data over the 1971M1-2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).

引用

页码：187 / 196

页数：10