Relativní verze teorie parity kupní síly: problémy empirické verifikace

Relative version of the theory of purchasing power parity: problems of empirical verification

Martin Mandel and Vladimír Tomšík

Politická ekonomie, 2008, vol. 2008, issue 6, 723-738

Abstract: The article discusses problems of the empirical verification of the relative version of the theory of purchasing power parity based on aggregated price indexes (especially using the consumer price index). The goal of the articles is to compare empirical results obtained from cross-country time series analysis using cointegration analysis, Error Correction Model, as well as VAR analysis. The authors tested 21 currency pairs of the U.S.A., Canada, Japan, Switzerland, the Great Britain, Norway, and Sweden in the period between 1975 and 2007. All tested time series were cointegrated of the first order with the exception of the consumer price index of Switzerland, which was cointegrated of the second order. The results of cointegration analysis are not very robust. This is explained by the authors as follows: existence of high transaction costs in an arbitrage, existence of complementary goods and oligopoly structure of exports, and expected back reaction between exchange rate and inflation.

Keywords: exchange rate; transaction costs; theory of purchasing power parity (search for similar items in EconPapers)
JEL-codes: E40 E44 F31 G10 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://polek.vse.cz/doi/10.18267/j.polek.660.html (text/html)
http://polek.vse.cz/doi/10.18267/j.polek.660.pdf (application/pdf)
free of charge

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:prg:jnlpol:v:2008:y:2008:i:6:id:660:p:723-738

Ordering information: This journal article can be ordered from
Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
http://polek.vse.cz

DOI: 10.18267/j.polek.660

Access Statistics for this article

Politická ekonomie is currently edited by Jiřina Bulisová

More articles in Politická ekonomie from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().