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Are PPP tests erratically behaved? : some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce …
Persistent link: https://www.econbiz.de/10003394591
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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …
Persistent link: https://www.econbiz.de/10013044515
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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26
study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …
Persistent link: https://www.econbiz.de/10014500904
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Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia
Guellil, Mohammed Seghir; Belmokaddem, Mostéfa; … - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 71-83
evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality …
Persistent link: https://www.econbiz.de/10012023904
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Real exchange rate misalignment and economic growth in Nigeria (1960-2011)
Ibrahim, Waheed - In: CBN journal of applied statistics 7 (2016) 1, pp. 93-110
generalized method of moment (GMM) approaches. Through series of iterative processes, it was observed that it will take four years … exchange rate regime. The GMM estimate reveals that real exchange rate misalignment has negative but significant impact on …
Persistent link: https://www.econbiz.de/10011460320
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Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64
cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …
Persistent link: https://www.econbiz.de/10010289485
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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory
Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64
cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …
Persistent link: https://www.econbiz.de/10003746940
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A note on testing for purchasing power parity
Heinen, Florian - 2011
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...
Persistent link: https://www.econbiz.de/10009012716
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Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2021
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10013317393
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Purchasing Power Parity : Evidence from a New Testing Procedure in the Nonlinear Modified ESTAR Framework
Dieu-Hang, To; Kompas, Tom - 2018
The presence of transaction costs in trading implies a non-linear adjustment process of real exchange rates towards Purchasing Power Parity (PPP). This may make the traditional tests for PPP using a linear framework, which generally tend to refute the PPP hypothesis, unreliable. This study...
Persistent link: https://www.econbiz.de/10014190608