This paper uses a unique new monthly US-UK real exchange rate series for the January 1794 – December 2009 period to reexamine the academic debate over purchasing power parity (PPP). The consensus view described by Rogoff (1996) is that PPP holds in the long-run, but short run deviations are...

The international asset pricing models are mostly developed in the situation where purchasing power parity (PPP) is not respected. Investors of dierent countries do not agree on expected security real returns. In this case, an equilibrium on the international assets market may exist but not on...

We examine the possibility that nontraded goods may account for several striking features of international macroeconomic data: large, persistent deviations from purchasing power parity, small correlations of aggregate consumption fluctuations across countries, and substantial international real...

We show that an American monetary shock wields an influence, though limited, over the Lebanese output in accordance with the literature advances. However, as we are waiting for a stronger transmission of U.S. short-term rates to Lebanese short-term rates, we notice that this transmission is weak...

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong...

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Previous studies on the stationarity properties of the real exchange rates in developing countries in Asia have generally produced mixed results. The unit root behavior is puzzling because it contradicts the purchasing power parity (PPP) hypothesis. This study examines international data on 15...

Assuming that asset markets are complete and arbitrage-free, the exchange rate can be expressed in terms of observables in a multicountry, multigood general equilibrium economy. In contrast to existing models of the exchange rate, this general model allows for international differences in...