Additional Evidence of Long-Run Purchasing Power Parity with Restricted Structural Change

David Papell and Ruxandra Prodan ()

Journal of Money, Credit and Banking, 2006, vol. 38, issue 5, 1329-1349

Abstract: We investigate two alternative versions of Purchasing Power Parity (PPP): reversion to a constant mean in the spirit of Cassel and reversion to a constant trend in the spirit of Balassa and Samuelson, using long-span real exchange rate data for industrialized countries. We develop unit root tests that both account for structural change and maintain a long-run mean or trend. With conventional tests, previous research finds evidence of some variant of PPP for 9 of the 16 countries. With the unit root tests in the presence of restricted structural change, we find evidence of PPP for five additional countries.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (77)

Downloads: (external link)
http://dx.doi.org/10.1353/mcb.2006.0073 full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Software Item: RATS programs to replicate Papell and Prodan one and two break unit root tests
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:mcb:jmoncb:v:38:y:2006:i:5:p:1329-1349

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().