EconPapers    
Economics at your fingertips  
 

Testing for Purchasing Power Parity using stationary covariates

Jomana Amara () and David Papell ()

Applied Financial Economics, 2006, vol. 16, issue 1-2, 29-39

Abstract: Purchasing Power Parity is tested for in post-Bretton Woods real exchange rate data from 20 developed countries using univariate tests and covariate augmented versions of the Augmented Dickey-Fuller (CADF) and feasible point optimal (CPT) unit root tests. The covariates are a combination of stationary variables - inflation, monetary, income, and current account. A cross method comparison of the results is performed. Very strong evidence is found of PPP using the CPT test, rejecting the unit root null for 12 out of the 20 countries at the 5% significance level or better, and six more at the 10% level. Much less evidence is found of PPP with the CADF and univariate tests.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100500389374 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:16:y:2006:i:1-2:p:29-39

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-10-25
Handle: RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:29-39