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Author : Hristos Theodoridis
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (429 download)
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:
Author : Hsiang-Ling Han
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (58 download)
Download or read book Testing Symmetry and Proportionality in PPP written by Hsiang-Ling Han and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Huseyin Kalyoncu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Purchasing Power Parity in OECD Countries written by Huseyin Kalyoncu and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the validity of purchasing power parity (PPP) for 25 OECD countries by using a panel unit-root methodology. The procedure used here is to examine stationarity of real exchange rate. Using ADF unit-root test on single time-series, it is found that real exchange rate of all OECD countries have unit root. This outcome, however, might be due to the generally low power of this test. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit-root tests. We apply the test advocated by Im et al. [Im, K.S., Pesaran, M.H., Shin, Y., 1997. Testing for unit roots in heterogenous panels. University of Cambridge, Department of Applied Economics]. According to estimation results real exchange rate in OECD countries are stationary and support long-run purchasing power parity.
Author : Keun-Yeob Oh
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (321 download)
Download or read book A Study of Purchasing Power Parity Using Unit Root Tests in Panel Data written by Keun-Yeob Oh and published by . This book was released on 1994 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Harris
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Panel Stationarity Tests for Purchasing Power Parity with Cross-Sectional Dependence written by David Harris and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the purchasing power parity hypothesis for a group of 17 countries using a new panel based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate, and potentially misspecified, models for the individual series. The statistic is simple to compute and uses standard Normal critical values, even in the presence of a wide range of deterministic components. We also show how the test can be applied using an approximate factor model for cross sectional dependence. Taken together, these features provide a generally applicable solution to the problem of testing for stationarity versus unit roots in macro-panel based data. The tests find significant evidence against the purchasing power parity hypothesis being true.
Author : Imed Drine and Christophe Rault
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.L/5 ( download)
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:
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Purchasing Power Parity - Evidence from a New Panel Test written by David E. Allen and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, 1999) to consider the Purchasing Power Parity Hypothesis. The major innovation of this test is that it allows both the testing of the unit root null, using the ADF test, and the stationarity null, using the KPSS test. We find that the the results are inconsistent, suggesting that either alternatives to a unit root null hypothesis may need to be considered or that panel based testing in this particular context may be of limited value.
Author : Mikael Carlsson
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (318 download)
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.
Author : Beatrice Kalinda Mkenda
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (924 download)
Download or read book An Empirical Test of Purchasing Power Parity in Selected African Countries written by Beatrice Kalinda Mkenda and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark P. Taylor
Publisher : Routledge
ISBN 13 : 1317988191
Total Pages : 434 pages
Book Rating : 4.3/5 (179 download)
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 434 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.
Author : Mark Holmes
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Does Purchasing Power Parity Hold in African Less Developed Countries? Evidence from a Panel Data Unit Root Test written by Mark Holmes and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests for long-run relative purchasing power parity among a sample of 27 African less developed countries. For this purpose, a new test advocated by Im and co-workers is employed which allows one to test for unit roots in heterogeneous panel datasets. This is known as the t-bar test, by which purchasing power parity is confirmed or rejected on the basis of whether or not the average augmented Dickey-Fuller statistic based on demeaned data is significantly different from zero. Using quarterly data covering the period 1974-97, purchasing power parity is generally rejected using individual country unit root tests but support is found using the t-bar test. This suggests that low power problems in testing for purchasing power parity can be overcome using this panel data procedure. The findings also support the view that purchasing power parity is most likely to be found among high inflation less developed countries and that the half-life of a one-off random shock to parity is approximately six quarters. These results are generally confirmed for the 1960-73 period.
Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 : 1118445775
Total Pages : 674 pages
Book Rating : 4.1/5 (184 download)
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.
Author : Mick Silver
Publisher : International Monetary Fund
ISBN 13 : 1451874162
Total Pages : 30 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations written by Mick Silver and published by International Monetary Fund. This book was released on 2009-12-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2005 International Comparison Program's (ICP) estimates of economy-wide purchasing power parity (PPP) are based on parity estimates for 155 basic expenditure headings, mainly estimated using country product dummy (CPD) regressions. The estimates are potentially inefficient and open to omitted variable bias for two reasons. First, they use average prices across outlets as the left-hand-side variable. Second, quality-adjusted prices of non-comparable replacements, required when products in outlets do not match the required specifications, cannot be effectively included. This paper provides an analytical framework based on panel data and hedonic CPD regressions for ameliorating these sources of bias and inefficiency.
Author : Biing-Shen Kuo
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (6 download)
Download or read book How Sure are We about PPP? written by Biing-Shen Kuo and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matthew David Higgins
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.3/5 (121 download)
Download or read book Purchasing Power Parity written by Matthew David Higgins and published by . This book was released on 2000 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Darja Borsic
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Investigating Purchasing Power Parity in Central and Eastern European Countries written by Darja Borsic and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this paper is to investigate the validity of PPP for a heterogeneous group of 12 transition countries with respect to dollar and euro. The analysis relies on monthly data frequency covering the period of 1994-2008. The first generation of panel unit root tests is based on the cross-sectional independency hypothesis. This paper applies five first generation unit root tests. The cross-sectional independency hypothesis is rather restrictive and somewhat unrealistic in the majority of macroeconomic applications of unit root tests. Thus, the second generation of panel unit root tests is characterized by the rejection of the cross-sectional independence hypothesis. Within this second generation of tests, two main approaches are distinguished. The first one relies on the factor structure approach. The second approach consists of imposing few or none restrictions on the residuals covariance matrix and has been adopted the use of nonlinear instrumental variables methods or the use of bootstrap approaches to solve the nuisance parameter problem due to cross-sectional dependency. We employ several second generation panel unit root tests in this paper to scrutinize the validity of PPP theory.
Author : Jeffrey A. Frankel
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Panel Project on Purchasing Power Parity written by Jeffrey A. Frankel and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
