The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Purchasing Power Parity in the Long Run: A Cointegration Approach
Abstract
This paper utilizes cointegration analysis to examine purchasing power parity relationships over a long-time horizon. The results indicate that the exchange rate is cointegrated strongly with the wholesale price index ratio and somewhat weakly with the consumer price index ratio. The cointegrating coefficient between the exchange rate and the price ratio is close to one when cointegration is confirmed. The hypothesis that the real exchange rate follows a random walk is rejected in most cases. Finally, a new test for common trends finds no such common trends in exchange rates or price ratios. Copyright 1990 by Ohio State University Press.
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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
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
A Century of Purchasing-Power Parity
Taylor, A. M. (2002) · Review of Economics and Statistics · doi:10.1162/003465302317331973 · Cited by 423
How Raising Interest Rates Can Cause Inflation and Currency Depreciation
Egilsson, J. H. (2020) · Journal of Applied Economics · doi:10.1080/15140326.2020.1795526 · Cited by 28
Metadata
- Authors
- Kim, Y.
- Venue
- Journal of Money, Credit and Banking
- Publisher
- JSTOR
- Published
- 1990-11
- Volume
- 22
- Issue
- 4
- Pages
- 491
- ISSN
- 0022-2879 (ISSN-L)
- OpenAlex
- W2043208740
- Cited by
- 330
- References
- 1
- FWCI
- 25.46
- Type
- journal article
- Language
- en
- Open access
- closed
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- Kim, Y. (1990). Purchasing Power Parity in the Long Run: A Cointegration Approach. Journal of Money, Credit and Banking. https://doi.org/10.2307/1992433
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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).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
