TESTING THE LAW OF ONE PRICE WHEN TRADE TAKES TIME

被引：32

作者：

GOODWIN, BK ^{[1
]}

GRENNES, T ^{[1
]}

WOHLGENANT, MK ^{[1
]}

机构：

[1] N CAROLINA STATE UNIV, RALEIGH, NC 27695 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1990年 / 9卷 / 01期

关键词：

D O I：

10.1016/0261-5606(90)90003-I

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper deals with several issues that may bias empirical tests against the law of one price. To obtain relatively homogeneous goods, a set of 17 narrowly defined primary products are used. Since trade takes time, the model is specified in terms of expected prices ratger than contemporaneous prices. An empirical measure of rational price expectations is obtained by using the generalized method of moments. The expectations-augmented model provides stronger support for the law of one price than the conventional formulation using contemporaneous prices. Results are also sensitive to the measurement of transport costs and interest rates. © 1990.

引用

页码：21 / 40

页数：20

共 28 条

[1] THE EQUILIBRIUM PRICING OF EXCHANGE-RATES AND ASSETS WHEN TRADE TAKES TIME [J].