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Author : Diego Lubian
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (753 download)
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:
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 : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (321 download)
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:
Author : Razzaque H. Bhatti
Publisher : Springer
ISBN 13 : 1349255238
Total Pages : 389 pages
Book Rating : 4.3/5 (492 download)
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Author : Javier Gardeazabal
Publisher : Springer Science & Business Media
ISBN 13 : 3642488587
Total Pages : 206 pages
Book Rating : 4.6/5 (424 download)
Download or read book The Monetary Model of Exchange Rates and Cointegration written by Javier Gardeazabal and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Author : Eleni Simou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (278 download)
Download or read book Purchasing Power Parity Hypothesis: Empirical Evidence and a Test of the Long Run Performance Within the European Monetary System Using Cointegration Techniques written by Eleni Simou and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucio Sarno
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.X/5 (6 download)
Download or read book Purchasing Power Parity and the Real Exchange Rate written by Lucio Sarno and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Su Zhou
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Purchasing Power Parity in High Inflation Countries written by Su Zhou and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables are integrated with some trend breaks. We then utilize these data to test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the correction of the finite sample bias and the adjustment for trend breaks. The results are consistent with the argument that, during the recent floating exchange rate period, PPP holds well, at least in a weak form, in high-inflation countries where the general price level movement overshadows the factors causing deviations from PPP.
Author : Alina Ignatiuk
Publisher : GRIN Verlag
ISBN 13 : 3640305884
Total Pages : 69 pages
Book Rating : 4.6/5 (43 download)
Download or read book The Principle, Practise and Problems of Purchasing Power Parity Theory written by Alina Ignatiuk and published by GRIN Verlag. This book was released on 2009-04 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2008 in the subject Business economics - Miscellaneous, grade: A, Schmalkalden University of Applied Sciences (Schmalkalden University), language: English, abstract: "Under the skin of any international economist lies a deep-seated belief in some variant of the PPP theory of the exchange rate." The purpose of this paper is to consider one of the most controversial theory in international economics - Purchasing Power Parity theory - its main idea, empirical evidence, limitations and practical application. The main idea of PPP is price levels changes determine the exchange rate change between two countries. There are two versions of PPP theory absolute and relative. Stricter absolute version of PPP did not find confirmation in reality and relative version of PPP theory was proposed. Despite theoretical and practical inconformity, PPP is present in many models of international economics as an explanation of exchange rate changes. The main apologist of PPP theory and its father was Gustav Cassel. He indicated that the exchange rate determined by price levels is not necessarily the actual exchange rate but the equilibrium one. Also Cassel mentioned that there is a tendency for the actual exchange rate to return to its equilibrium exchange rate. The original idea of PPP theory is described below: "Our willingness to pay a certain price for foreign money must ultimately and essentially be due to the fact that this money possesses a purchasing power as against commodities and services in that foreign country." In this paper we considered the principle and two versions of PPP theory, discussed its empirical evidence and econometrical tests, and also tried to find possible reasons why PPP theory fails in reality and answered the question is this theory still useful for explaining exchange rates movements.
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (318 download)
Download or read book Long-Run Purchasing Power Parity and the Dollar-Sterling Exchange Rate in the 1920's written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1990-12 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper replies to Ahking’s (1990) re-examination of Taylor and McMahon’s (1988) analysis of long-run purchasing power parity in the 1920s. We demonstrate that Ahking’s conclusions are only partially correct and reestablish our conclusion that, a form of long-run purchasing-power parity did in fact hold for dollar-sterling during this period. The new results are also employed to gauge the degree of overvaluation of sterling relative to the imposed prewar parity of $4.86 upon its return to gold and for 12 months afterwards.
Author : Prakash G. Apte
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.X/5 (4 download)
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:
Author : Jacquelynne Weymouth McLellan
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (314 download)
Download or read book An Empirical Examination of Long-run Purchasing Power Parity Using Cointegration Techniques written by Jacquelynne Weymouth McLellan and published by . This book was released on 1993 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R.W. Jones
Publisher : North Holland
ISBN 13 :
Total Pages : 654 pages
Book Rating : 4.3/5 (91 download)
Download or read book Handbook of International Economics written by R.W. Jones and published by North Holland. This book was released on 1984 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Textbook, research papers on international economic theory, economic policy and practice - includes a literature survey of theoretical studies in trade relations; covers evolution of economic models explaining the determinants of trade structure, capital flow, labour mobility, trade in natural resources, etc.; examines macroeconomics aspects of balance of payments, exchange rate, international monetary system, economic relations and dependence, etc. Bibliography, graphs, statistical tables.
Author : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Purchasing Power Parity Under the European Monetary System written by Yin-Wong Cheung and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hali J. Edison
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Purchasing Power Parity and Uncovered Interest Rate Parity written by Hali J. Edison and published by . This book was released on 1992 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan M. Taylor
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Century of Purchasing-power Parity written by Alan M. Taylor and published by . This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates purchasing-power parity (PPP) since the late nineteenth century. I collected data for a group of twenty countries over one hundred years, a larger historical panel of annual data than has ever been studied before. The evidence for long-run PPP is favorable using recent multivariate and univariate tests of higher power. Residual variance analysis shows that episodes of floating exchange rates have generally been associated with larger deviations from PPP, as expected; this result is not attributable to significantly greater persistence (longer halflives) of deviations in such regimes, but is due to the larger shocks to the real-exchange rate process in such episodes. In the course of the twentieth century there was relatively little change in the capacity of international market integration to smooth out real exchange rate shocks. Instead, changes in the size of shocks depended on the political economy of monetary and exchange-rate regime choice under the constraints imposed by the trilemma.
Author : Anwar Al-Gasaymeh
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Long-Run Purchasing Power Parity and Exchange Rates written by Anwar Al-Gasaymeh and published by . This book was released on 2016 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the validity of Purchasing Power Parity and investigates the market integration between Jordan and its major trading partners, namely, Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates. Unit root tests, Johansen co-integration test and a vector error correction model were employed to test data covering the period 2005Q1-2012Q4. The unit root tests demonstrated that all variables were integrated of order one. The results of co-integration tests showed that a co-integrating relationship existed between exchange rates, domestic and foreign price levels for four Gulf Cooperation Council countries. The two remaining countries, Oman and United Arab Emirates, do not have a cointegration relationship. For the vector error correction model, we found the error correction terms for Jordan with the Gulf Cooperation Council countries carried the expected sign. This suggests that whenever there is a deviation from the equilibrium co-integrating relationship, the exchange rate interacts in a dynamic fashion by adjusting to restore its long-run equilibrium. Finally, the models passed all the diagnostic checking. In conclusion, these results provide evidence that the Purchasing Power Parity model holds in the long run. The results also show the Jordanian economy is integrated with six trading countries.
