In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

This paper re-examines the purchasing power parity theory for five bilateral Canadian dollar exchange rates. The Johansen cointegration technique is employed, and we find evidence in favor of PPP when wholesale prices are used but not when consumer prices are utilized, whereas in all but one...