Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis
In this paper I show that cointegration tests of PPP using aggregate price indexes are not always robust to changes in relative prices. I offer a method of gauging the importance of these effects and find them to be unimportant in recent rejections of PPP.
Year of publication: |
1991
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Authors: | Johnson, Paul A. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 36.1991, 3, p. 305-309
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Publisher: |
Elsevier |
Saved in:
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