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Testing For Purchasing Power Parity In Cointegrated Panels
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Book Synopsis Testing for Purchasing Power Parity in Cointegrated Panels by : Mikael Carlsson
Download or read book Testing for Purchasing Power Parity in Cointegrated Panels written by Mikael Carlsson and published by International Monetary Fund. This book was released on 2007 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Our overall results are the same across all approaches: The strong PPP hypothesis is rejected in favour of weak PPP with heterogenenous cointegrating vectors.
Book Synopsis Panel Cointegration Tests of Purchasing Power Parity by : Mario Cerrato
Download or read book Panel Cointegration Tests of Purchasing Power Parity written by Mario Cerrato and published by . This book was released on 2002 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Purchasing Power Parity and Real Exchange Rates by : Mark P. Taylor
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Book Synopsis New Panel Unit Root and Cointegration Tests of Purchasing Power Parity by : Mario Cerrrato
Download or read book New Panel Unit Root and Cointegration Tests of Purchasing Power Parity written by Mario Cerrrato and published by . This book was released on 2003 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonstationary Panels, Panel Cointegration, and Dynamic Panels by : Badi H. Baltagi
Download or read book Nonstationary Panels, Panel Cointegration, and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Book Synopsis A re-examination of the Purchasing Power Parity using non-stationary dynamic panel methods: a comparative approach for developing and developed countries by : Imed Drine and Christophe Rault
Download or read book A re-examination of the Purchasing Power Parity using non-stationary dynamic panel methods: a comparative approach for developing and developed countries written by Imed Drine and Christophe Rault and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Panel Unit Root and Cointegration Test of Purchasing Power Parity by : Auwal Yahaya
Download or read book Panel Unit Root and Cointegration Test of Purchasing Power Parity written by Auwal Yahaya and published by . This book was released on 2015 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Different Measures in Testing Absolute Purchasing Power Parity by : Zhibai Zhang
Download or read book Different Measures in Testing Absolute Purchasing Power Parity written by Zhibai Zhang and published by . This book was released on 2015 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: In popular studies, the theory of purchasing power parity (PPP) is tested for the real exchange rate (RER) that is constructed by price indexes and all variables are logarithmic. In this paper, we test the absolute PPP theory for the RER that is constructed by general price levels and is in its original form. Panel unit root and cointegration tests reveal that the RER is stationary and a cointegration relationship exists between nominal exchange rate and PPP rate, which supports the PPP theory. But the RER misalignment is not a normal distribution with zero mean, and the coefficient restriction test also rejects the PPP theory. One reason that leads to the conflicting conclusions is given.
Book Synopsis Testing Long Run Purchasing Power Parity in a Cointegrated System by : Diego Lubian
Download or read book Testing Long Run Purchasing Power Parity in a Cointegrated System written by Diego Lubian and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-run Purchasing Power Parity During the Recent Float by : Yin-Wong Cheung
Download or read book Long-run Purchasing Power Parity During the Recent Float written by Yin-Wong Cheung and published by . This book was released on 1990 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Exchange Rates by : Jessica James
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Book Synopsis Testing Purchasing Power Parity for the New EU Members and Turkey by : Hulya Saygili
Download or read book Testing Purchasing Power Parity for the New EU Members and Turkey written by Hulya Saygili and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study applies multivariate panel cointegration technique to evaluate purchasing power parity (PPP) hypothesis by using consumer price sub-indices of new EU member transition economies and Turkey. We aim not only to compare the parameter estimates across the sectors of an economy but also across the economies at different EU transition stages. We find that failure to get evidence for cointegration to support PPP can be attributed to the inclusion of non-tradable goods in the aggregated data. Inclusion of Turkey into the group of transition countries strengthens the test results in favor of weak form PPP. That verifies the significance of the extent of trade relationship as one of the requisite for the PPP hypothesis to hold.
Book Synopsis Purchasing Power Parity by : Georgios Loukopoulos
Download or read book Purchasing Power Parity written by Georgios Loukopoulos and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is consistent with impressions from the statistics of stationarity tests. We also employ the variance decomposition method to analyze the movements in the exchange rates and the price indices that are caused by their own shocks, and shocks caused by other variables. With respect to half-life estimates, the results from a shock to the real exchange rate range from 9,76 to 77,39 months. Overall, unit root tests show that absolute PPP may hold, but this depends on the country and the selected method. In contrast, the Johansen approach does not support the existence of PPP in any country.
Book Synopsis Testing for Purchasing Power Parity with the Use of Panel Data by : Hristos Theodoridis
Download or read book Testing for Purchasing Power Parity with the Use of Panel Data written by Hristos Theodoridis and published by . This book was released on 1997 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pass-through of Exchange Rates and Purchasing Power Parity by : Robert C. Feenstra
Download or read book Pass-through of Exchange Rates and Purchasing Power Parity written by Robert C. Feenstra and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop and test two hypotheses about purchasing power parity (PPP) derived from the pricing behavior of profit- maximizing, exporting firms. The first is that changes in the price of traded goods relative to domestic substitutes, due to partial pass- through of exchange rates, will affect the PPP relation. The second is that PPP should hold on forward rather than spot exchange rates, due to hedging by firms. Using quarterly data for the United States, Canada, France, Germany, Japan and the United Kingdom, we find considerable support for the first but not the second hypothesis.
Book Synopsis The Exchange Rate and Purchasing Power Parity by : Prakash G. Apte
Download or read book The Exchange Rate and Purchasing Power Parity written by Prakash G. Apte and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Statistical Time Series by : Wayne A. Fuller
Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
