haku: @author Cuddington, J. / yhteensä: 1
viite: 1 / 1
« edellinen | seuraava »
Tekijä: | Cuddington, J. Liang, H. |
Otsikko: | Purchasing power parity over two centuries? |
Lehti: | Journal of International Money and Finance
2000 : OCT, VOL. 19:5, p. 753-758 |
Asiasana: | PURCHASING POWER PARITY EXCHANGE RATES SENSITIVITY ANALYSIS |
Kieli: | eng |
Tiivistelmä: | This paper re-examines the purchasing power parity hypothesis for the dollar-sterling exchange rate using the two centuries of data from Lothian and Taylor (1996) (LT). Unlike LT, the authors of this article conclude that the dollar-sterling RER is nonstationary, implying a rejection of the long-run PPP hypothesis. The differences in their conclusions are explained by: (1) sensitivity of ADF unit root tests to the choice of lag length, and/or (2) the presence of significant time trends in the ADF or Phillips-Perron unit root test equation. |
« edellinen | seuraava »
SCIMA