Economics at your fingertips  

Multivariate Cointegration Analysis and the Long-Run Validity of PPP

Peter Kugler and Carlos Lenz

The Review of Economics and Statistics, 1993, vol. 75, issue 1, 180-84

Abstract: This paper tests the long-run validity of PPP using Johansen's multivariate cointegration methodology on exchange rates and domestic and foreign price levels. Monthly data covering the recent flexible exchange rate period of the DM vis a vis 15 currencies le ad to the following conclusion: PPP seems to hold in the long run for s ix European currencies: the Pound, Lira, Norwegian Krone, Schilling, Escudo, and Peseta. However, PPP has to be rejected.for the United States and the Canadian Dollar as well as for the Belgian Franc and the Danish Krone. Nevertheless, the authors' analysis is more favorable to PPP as a long-run property of exchange rates than the recent work applying the Engle/Granger regression methodology. Copyright 1993 by MIT Press.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (55) Track citations by RSS feed

Downloads: (external link) ... 0.CO%3B2-G&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See for details.

Related works:
Working Paper: Multivariate Cointegration Analysis and the Long-run Validity of PPP (1990)
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:

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Kelly McDougall ( this e-mail address is bad, please contact ).

Page updated 2023-12-06
Handle: RePEc:tpr:restat:v:75:y:1993:i:1:p:180-84