The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
An empirical examination of long-run purchasing power parity using cointegration techniques
Abstract
This paper presents an empirical analysis of long-run purchasing power parity (PPP) for five major exchange rates using recently developed econometric techniques on the cointegration of economic time series. Our empirical results are extremely unfavourable to the PPP hypothesis as a long-run equilibrium condition, even with an allowance made for measurement error and/or tranportation costs. In particular, we are unable to reject the hypothesis of non-cointegration of the exchange rate and relative prices for any of the countries concerned. Far from finding a stable, long-run proportionality between exchange rates and relative prices, our results therefore suggest that they tend to drift apart without bound.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Theory of the Consumption Function
Friedman, M. (1957) · doi:10.1515/9780691188485 · Cited by 3,335
Cited by
A panel project on purchasing power parity: Mean reversion within and between countries
Frankel, J. A., & Rose, A. K. (1996) · Journal of International Economics · doi:10.1016/0022-1996(95)01396-2 · Cited by 678
Metadata
- Authors
- Taylor, M. P.
- Venue
- Applied Economics
- Publisher
- Informa UK Limited
- Published
- 1988-10
- Volume
- 20
- Issue
- 10
- Pages
- 1369-1381
- ISSN
- 0003-6846 (ISSN-L)
- 1466-4283
- OpenAlex
- W2017080498
- Cited by
- 484
- References
- 2
- FWCI
- 16.70
- Type
- journal article
- Language
- en
- Open access
- closed
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- Taylor, M. P. (1988). An empirical examination of long-run purchasing power parity using cointegration techniques. Applied Economics. https://doi.org/10.1080/00036848800000107
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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