Economics at your fingertips  

Quasi Purchasing Power Parity

Natalie D Hegwood and David Papell ()

International Journal of Finance & Economics, 1998, vol. 3, issue 4, 279-89

Abstract: Several recent studies have found evidence of purchasing power parity by using long time series of data to combat the low power of unit root tests. The ability to reject unit roots in real exchange rates, however, only implies that PPP holds in the absence of structural change. We test for multiple structural changes in six real exchange rates, and find strong evidence against both the unit root and the no-structural-change hypotheses. We call this result quasi purchasing power parity. When structural change is accounted for, real exchange rates display mean reversion that is much faster than previously calculated. Copyright @ 1998 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (104) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
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:

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2019-04-22
Handle: RePEc:ijf:ijfiec:v:3:y:1998:i:4:p:279-89