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An empirical examination of purchasing power parity: Argentina 1810–2016

Alejandro D. Jacobo and Simón Sosvilla‐Rivero
Authors registered in the RePEc Author Service: Simon Sosvilla-Rivero

International Journal of Finance & Economics, 2021, vol. 26, issue 2, 2064-2073

Abstract: This paper examines the purchasing power parity behaviour for Argentina during the 1810–2016 period. To that end, we use cointegration analysis and error correction models allowing for structural breaks. We find a long‐run relationship between the AR$/USD exchange rate and the price differential between Argentina and the USA. In particular, we offer empirical evidence in favour of a cointegrating equation with two structural breaks. We also find evidence that the data could identify an appropriate error correction model for the short‐run dynamics, hence providing further support for the cointegrating equation as a long‐run relationship.

Date: 2021
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https://doi.org/10.1002/ijfe.1893

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