Purchasing power parity: A nonlinear multivariate perspective

Frédérique Bec, Anders Rahbek and Melika Ben Salem

Economics Bulletin, 2008, vol. 6, issue 39, 1-6

Abstract: The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is consistent with the PPP in presence of trading costs. European data support the relevance of this model for Belgium, France and Italy, but this is not the case for the G7 data against the US Dollar. Furthermore, the adjustment in European countries seems to have been achieved only through nominal exchange rate changes.

JEL-codes: C1 F3 (search for similar items in EconPapers)
Date: 2008-09-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2008/Volume6/EB-08F30067A.pdf (application/pdf)

Related works:
Working Paper: Purchasing power parity: A nonlinear multivariate perspective (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08f30067

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().