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PPP in the Medium Run Despite Oil Shocks: The Case of Norway

Akram, Q. Farooq - 2002

Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by … large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during … appears remarkably consistent with the PPP theory. Moreover, convergence towards PPP is relatively fast; the half-life of a …

Persistent link: https://www.econbiz.de/10012143592

Nonlinear threshold unit root test and ppp in transition countries

Bahmani-Oskooee, Mohsen; Tsangyao Chang* - In: Journal of Developing Areas 49 (2015) 1, pp. 177-186

of long-run purchasing power parity (PPP) in 14 transition countries, using monthly real effective exchange rates over … the period January 1994- June 2012. The empirical results indicate that PPP holds only in five countries (i.e., Cyprus …, Lithuania, Latvia, Poland, and Slovenia). Furthermore, we found that the adjustment toward PPP is nonlinear. …

Persistent link: https://www.econbiz.de/10011213293

Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries

Qin, Duo - Institut für Weltwirtschaft (IfW) - 2007

(PPP) is embedded in latent disequilibrium factors, being extracted from a large set of bilateral price disparities; the … five OECD countries using monthly data show promising results, which reverse the common belief that PPP is at best a very …

Persistent link: https://www.econbiz.de/10005083384

Linear or Nonlinear Cointegration in the Purchasing Power Parity Relationship?

Haug, Alfred A.; Basher, Syed A. - Department of Economics, School of Business - 2007

We test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear cointegration is … combination is I(1). Overall, we find some, though limited, evidence for nonlinear and also linear cointegration in the PPP model. …

Persistent link: https://www.econbiz.de/10010611221

Purchasing Power Parity and Real Exchange Rate in Japan

Long, Dara - Volkswirtschaftliche Fakultät, … - 2008

This paper examines the validity of both the short-run and long-run purchasing power parity (PPP) hypotheses in Japan … long-run. On the other hand, from the second test, we found that there is a strongly robust long-run PPP relationship but … no significant short-run PPP relationship. Furthermore, unlike the previous literature, this paper confirms the stability …

Persistent link: https://www.econbiz.de/10005837518

A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - School of Economics, UNSW Business School - 2008

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach and Wohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate...

Persistent link: https://www.econbiz.de/10005135159

Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - Economics Department, Queen's University - 2007

Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international … macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results … regarding the PPP hypothesis. We examine the PPP hypothesis from an alternate point of view: We investigate the possibility of …

Persistent link: https://www.econbiz.de/10005688241

A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2008

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...

Persistent link: https://www.econbiz.de/10005621893

What do we know about real exchange rate non-linearities?

Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas; … - School of Economics and Management, University of Aarhus - 2009

This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against...

Persistent link: https://www.econbiz.de/10008577799

Does the purchasing power parity hypothesis hold after 1998?

Zanetti Chini, Emilio - Volkswirtschaftliche Fakultät, … - 2010

the decade 1999-2009. The literature has recently arrived to a solution to the two PPP puzzles if considering the post …

Persistent link: https://www.econbiz.de/10008753101