The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) since 1885. Also using recent advances in the econometrics of structural change we segment the sample space according to the identified breaks and look at whether the PPP condition holds in each...

Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmetry and proportionality of the price coefficients. We investigate a separate condition, which we term homogeneity. Specifically, while there may be factors that drive a wedge between prices and...

This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP.

Cheung et al. (2004) use a vector error correction model (VECM) for the current float nominal exchange rate and relative price data and claim that the sluggish purchasing power parity (PPP) reversion is primarily driven by the nominal exchange rate, not by relative price adjustment, which is at...

This paper tests the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. Those countries share characteristics as high inflation, nominal shocks, and trade openness which might have led to quicker adjustment in relative prices and contributed for PPP to hold....

This study explores the linkages between exchange rates and macroeconomic fundamentals to determine the long-run relationship, the short-run dynamic correction as well as the direction of causality for several Pacific Rim countries. The conventional cointegration tests fail to find the long-run...

This paper uses wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other...

Global oil price shock waves and continuous trade imbalance have raised serious alarms among the policy makers around the world, because of its aggressive impacts for the net oil‐importing economies. The objective of this study is to investigate the impact of rising oil prices on the trade...

The monetary model of exchange rate determination holds that cheap monetary policy of the home country leads to depreciation of the national currency. The study attempts to enquire if the rupee/dollar exchange rate variation as observed in the period of independent float regime in Sri Lanka had...

Este artículo analiza la evolución de las primas de riesgo cambiario de la peseta y libra esterlina frente al dólar. Para ello, consideramos que las primas de riesgo son una función de la covarianza condicional entre dos tipos de cambio, y pueden descomponerse en dos componentes que varían...