A TEST OF LONG-RUN PURCHASING POWER PARITY ALLOWING FOR STRUCTURAL BREAKS

被引：46

作者：

CORBAE, D ^{[1
]}

OULIARIS, S ^{[1
]}

机构：

[1] NATL UNIV SINGAPORE,SINGAPORE 0511,SINGAPORE

来源：

ECONOMIC RECORD | 1991年 / 67卷 / 196期

关键词：

D O I：

10.1111/j.1475-4932.1990.tb02525.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

If exchange rates and prices are integrated processes, standard econometric tests of the purchasing power parity (PPP) hypothesis may be biased towards rejection. This paper avoids this problem by using the Engle and Granger (1987) theory of cointegrated processes. If the absolute version of purchasing power parity is true, and nominal exchange rates and prices are integrated processes, inter‐commodity arbitrage should ensure that the real exchange rate is stationary. The stationarity hypothesis is tested using Australian real exchange rate data for the 1890–1984 period We find that the effective real exchange rate cannot be modelled as a stationary process and therefore reject the absolute version of PPP. We also employ a test for structural breaks due to, for instance, the oil price shock and find mixed results. Another interpretation of our results is that the real exchange rate was affected by a series of permanent, real shocks during the sample period Copyright © 1991, Wiley Blackwell. All rights reserved

引用

页码：26 / 33

页数：8

共 20 条

[1] COINTEGRATION AND TESTS OF PURCHASING POWER PARITY [J].