Purchasing Power Parity Hold in Major SAARC Countries? Panel Cointegration Analysis

Purchasing power parity in transition countries: Sequential panel selection method

a r t i c l e i n f o JEL Classification: C22 F31 Keywords: Purchasing power parity Real effective exchange rate Transition countries Sequential Panel Selection Method Panel KSS unit root test Fourier function Policy implications This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity ...

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

Symmetry, Proportionality and the Purchasing Power Parity: Evidence from Panel Cointegration Tests

The objective of this paper is to examine the long-run Purchasing Power Parity hypothesis in a dynamic panel of twenty OECD countries, using recently developed heterogeneous panel cointegration tests that have not been previously applied to PPP. Another contribution is that we investigate the symmetry and proportionality conditions in PPP using likelihood-based inference as suggested by Johanse...

Did Purchasing Power Parity Hold in Medieval Europe?

This paper employs a unique, hand-collected dataset of exchange rates for five major currencies (the lira of Barcelona, the pound sterling of England, the pond groot of Flanders, the florin of Florence and the livre tournois of France) to consider whether the law of one price and purchasing power parity held in Europe during the late fourteenth and early fifteenth centuries. Using single series...

Nonlinear cointegration: Theory and Application to Purchasing Power Parity

In this paper, we study a smooth-transition type of nonlinear cointegration among a dynamic system, in which the proposed definition nests Engle and Granger (1987)’s linear cointegration. Based on the Smooth Transition Autoregressive (STAR) models, a triangular representation for the nonlinearly cointegrated system is introduced. Furthermore, two tests for nonlinear cointegration are derived in...