CO-INTEGRATION AS AN EMPIRICAL-TEST OF PURCHASING POWER PARITY

被引：38

作者：

LAYTON, AP ^{[1
]}

STARK, JP ^{[1
]}

机构：

[1] COLUMBIA UNIV,NEW YORK,NY 10027

来源：

JOURNAL OF MACROECONOMICS | 1990年 / 12卷 / 01期

关键词：

D O I：

10.1016/0164-0704(90)90060-N

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The use of a country's real effective exchange rate as a measure of external competitiveness implicitly assumes that, in the long run, purchasing power parity prevails between the country and its trading partners. A testable definition of long-run equilibrium existing among non-stationary time series is provided in the recently developed theory of co-integration. The existence of such a long-run "statistical equilibrium" between the U.S. inflation rate and an effective exchange-rate-adjusted inflation rate computed from its major trading partners is investigated in the paper. © 1990.

引用

页码：125 / 136

页数：12

共 11 条

[1]

BANERJEE A, 1986, OXFORD B ECON STAT, V48, P253

[2] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].