New Multi-Country Evidence on Purchasing Power Parity: Multivariate Unit Root Test Results

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Purchasing Power Parity: Evidence from a New Test

Most economists intuitively consider purchasing power parity (PPP) to be true. Nevertheless, quite surprisingly, the empirical literature is not very supportive for PPP. In this paper, however, we …nd evidence in favor of PPP using a new test. The test is embedded in a Markov regime-switching model for the exchange rate, because earlier papers have shown that this model describes the data bette...

Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks

In this paper the relevance of the PPP as a long-run relationship is studied using a panel of Latin American and Asian countries. We investigate the stationarity of real exchange rates by applying a new panel unit root test that is robust to structural breaks due to currency crises. It turns out that the long-run PPP relationship is relevant for the Asian countries, which experienced a flexible...

Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity

a r t i c l e i n f o JEL classification: C10 C12 C22 C50 Keywords: (Nonlinear) unit root test Heteroskedasticity Wild bootstrapping Purchasing power parity In spite of the extensive research which has already been undertaken, the issue as to whether Purchasing Power Parity (PPP) empirically holds, continues to be strongly debated. Existing studies have been criticized for their reliance on uni...

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks