haku: @author Serletis, A. / yhteensä: 8
viite: 5 / 8
Tekijä: | Serletis, A. |
Otsikko: | Maximum likelihood cointegration tests of purchaising power parity: evidence from seventeen OECD countries |
Lehti: | Weltwirtschaftliches Archiv
1994 : VOL. 130:3, p. 476-493 |
Asiasana: | PURCHASING POWER PARITY OECD COINTEGRATION |
Kieli: | eng |
Tiivistelmä: | This paper examines the relevance of long-run purchasing power parity (PPP) during the recent floating exchange rate period, using Johansen's maximum likelihood method for estimating and testing steady-state relations in multivaried vector autoregressive models. Thirty-two bilateral intercounry relations are considered and it is found that in many cases there exists a long-run relationship between exchange rates and international price differentials, which, however, significantly deviates from PPP in most instances. |
SCIMA