Purchasing power parity over two centuries?

被引：27

作者：

Cuddington, JT

Liang, H

机构：

[1] Georgetown Univ, Dept Econ, Washington, DC 20057 USA

[2] Int Monetary Fund, Washington, DC 20431 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2000年 / 19卷 / 05期

关键词：

purchasing power parity; real exchange rates; unit root tests; sensitivity analysis;

D O I：

10.1016/S0261-5606(00)00029-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 (LT) (1996) [Real exchange rate behavior: the recent float from the perspective of the past two centuries. Journal of Political Economy 104 (3), 488-509]. Unlike LT, we conclude that the dollar-sterling RER is nonstationary, implying a rejection of the long-run PPP hypothesis. The differences in our 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-Penon unit root test equations. (C) 2000 Elsevier Science Ltd. All rights reserved. JEL classification: F3 (international finance); F41 (open economy macroeconomics).

引用

页码：753 / 757

页数：5

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Enders W., 2008, Applied Econometric Time Series

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