Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model

Tor Jacobson, Johan Lyhagen (), Rolf Larsson and Marianne Nessen ()

No D4-2, 10th International Conference on Panel Data, Berlin, July 5-6, 2002 from International Conferences on Panel Data

Abstract: New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in the four major economic powers in Europe, France, Germany, Italy and Great Britain for the post- Bretton Woods period. We test for PPP and find that the theoretical PPP relationship does not hold but there is a similar (1,-1.5,0.9 instead of 1,-1,1) relationship which is common for the investigated countries. Parametric bootstrap inference is used to deal with badly small sample sized tests.

Keywords: Long-run purchasing power parity; multivariate cointegration analysis; bootstrap inference. (search for similar items in EconPapers)
JEL-codes: C15 C32 F30 (search for similar items in EconPapers)
Date: 2002-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Inflation, exchange rates and PPP in a multivariate panel cointegration model (2008)
Working Paper: Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model (2002)
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