A Fractional Cointegration Analysis of Purchasing Power Parity: Evidence of ELW

Nadhem Selmi

International Journal of Management and Sustainability, 2014, vol. 3, issue 11, 664-672

Abstract: This study examines the long-run relationship between exchange rates and relative prices. We use a long memory techniques that allow for persistence of chock relationships across real exchange rate to examine the existence of weak-form and strong-form Purchasing Power Parity (PPP) between the Tunisian and five partner countries of Tunisia, namely, (Germany, the United States, France, Italy, the UK, Morocco and Libya. The empirical results obtained through the R/S, Modified R/S, GPH and ELW tests; make us consider the PPP as an event in the long run if significant short-term deviations from the PPP cannot exist. Therefore, the analysis of the fractional cointegration makes the deviations, regarding equilibrium, follow a slightly integrated process and therefore capture a much wider group of research parity or mean-reverting behavior.

Keywords: Exchange rate; ELW; Fractional cointegration; long memory; GPH; Robinson (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.conscientiabeam.com/index.php/11/article/view/994/1368 (application/pdf)

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: https://EconPapers.repec.org/RePEc:pkp:ijomas:v:3:y:2014:i:11:p:664-672:id:994

Access Statistics for this article

More articles in International Journal of Management and Sustainability from Conscientia Beam
Bibliographic data for series maintained by Dim Michael ().