The empirical validity of long-run purchasing power parity is investigated using multivariate cointegration techniques. Both bilateral and multilateral PPP is examined. The data set is monthly and covers almost 22 years (January 1970-August 1991) for four countries--Germany, Japan, the U.S., and...

We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period 1930–1996 using multivariate cointegration techniques. Bilateral PPP between the four countries is examined in one system (as opposed to e.g. series of trivariate systems). In all of the...