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Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

Jingfei Wu (), Mohsen Bahmani-Oskooee () and Tsangyao Chang ()
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Jingfei Wu: Shanghai University

Empirica, 2018, vol. 45, issue 1, 187-196

Abstract: Abstract This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999). Using monthly data over the 1971M1–2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).

Keywords: Purchasing power parity; G6 Countries; Smooth time-varying cointegration test (search for similar items in EconPapers)
JEL-codes: C21 F31 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9355-1