Zanetti Chini, Emilio (2010): Does the purchasing power parity hypothesis hold after 1998?
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Abstract
We investigate the empirical support to the Purchasing Power Parity hypothesis by using sixteen real exchange rates for the decade 19992009. The literature has recently arrived to a solution to the two PPP puzzles if considering the postBretton Woods period from 1975 to 1998. Time seriesbased studies consider few cases, while panelbased studies have been recently criticized. Multivariate and panel cointegration, and nonlinear models are here implemented. The theory is rejected and both the puzzles remain unsolved if considering a linear structure, while a nonlinear scenario seems to allow for a partial solution to the first puzzle.
Item Type:  MPRA Paper 

Original Title:  Does the purchasing power parity hypothesis hold after 1998? 
Language:  English 
Keywords:  PPP; unit roots; cointegration; nonlinear models; IRF 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C50  General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes F  International Economics > F3  International Finance > F31  Foreign Exchange 
Item ID:  27225 
Depositing User:  Emilio Zanetti Chini 
Date Deposited:  06. Dec 2010 01:02 
Last Modified:  31. Dec 2015 05:25 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/27225 
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