PPP May not Hold for Agricultural Commodities

Luciano Gutierrez

International Trade from University Library of Munich, Germany

Abstract: We use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in the panel, are used. Properties of unit roots and panel tests are analyzed by Monte Carlo simulation. Summarizing, our results show that during the post-Bretton-Woods period of flexible exchange rates, PPP does not hold for agricultural commodities.

Keywords: Key words : Purchasing Power Parity; Agricultural Commodities; Monte Carlo; Unit Root tests; Panel unit root tests. (search for similar items in EconPapers)
JEL-codes: C22 C23 F14 F31 (search for similar items in EconPapers)
Date: 2003-09-23
Note: Type of Document - PDF; prepared on IBM PC; to print on HP;
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/it/papers/0309/0309022.pdf (application/pdf)

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:wpa:wuwpit:0309022

Access Statistics for this paper

More papers in International Trade from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).