Purchasing Power Parity and Structural Breaks: Rolling, Recursive and Sequential Regressions

Andrew L. H. Parkes
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Andrew L. H. Parkes: Mesa State College

Journal of Economic Insight, 2007, vol. 33, issue 2, 63-81

Abstract: Innovative rolling, recursive and sequential regression procedures are employed to examine the evidence concerning purchasing power parity. Two data sets are examined: monthly U.S.-based real exchange rates from 1957-1998 and annual U.K.-based real exchange rates from 1900-1998. Empirical evidence is found for purchasing power parity when structural breaks are included in the annual bilateral exchange rates. Evidence of purchasing power parity and structural breaks is weaker using the monthly data.

JEL-codes: F3 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:mve:journl:v:33:y:2007:i:2:p:63-81

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