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Volumn 51, Issue 2, 1996, Pages 225-231

A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies

Author keywords

Exchange rates; Principal components; Purchasing power parity; Unity root tests

Indexed keywords


EID: 0030140988     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00802-0     Document Type: Article
Times cited : (9)

References (16)
  • 1
    • 84977737410 scopus 로고
    • Purchasing power parity in the long run
    • Abuaf, N. and P. Jorion, 1990, Purchasing power parity in the long run, Journal of Finance 45, 157-174.
    • (1990) Journal of Finance , vol.45 , pp. 157-174
    • Abuaf, N.1    Jorion, P.2
  • 2
    • 0000315099 scopus 로고
    • Is there trend reversion in purchasing power parity?
    • Ardeni, P. and D. Lubian, 1991, Is there trend reversion in purchasing power parity? European Economic Review, 1035-1055.
    • (1991) European Economic Review , pp. 1035-1055
    • Ardeni, P.1    Lubian, D.2
  • 3
  • 4
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D. and W. Fuller, 1981, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.2
  • 5
    • 84986364773 scopus 로고
    • A quantitative reassessment of the purchasing power parity hypothesis: Evidence from Norway and the United Kingdom
    • Edison, H. and J.T. Kloveland, 1987, A quantitative reassessment of the purchasing power parity hypothesis: Evidence from Norway and the United Kingdom, Journal of Applied Econometrics 2, 309-333.
    • (1987) Journal of Applied Econometrics , vol.2 , pp. 309-333
    • Edison, H.1    Kloveland, J.T.2
  • 6
    • 0000397633 scopus 로고
    • ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes
    • Enders, W., 1988, ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes, Review of Economics and Statistics 70, 504-508.
    • (1988) Review of Economics and Statistics , vol.70 , pp. 504-508
    • Enders, W.1
  • 9
    • 33749587436 scopus 로고
    • A re-examination of purchasing power parity
    • Hakkio, Craig, 1984, A re-examination of purchasing power parity, Journal of International Economics 17, 265-277.
    • (1984) Journal of International Economics , vol.17 , pp. 265-277
    • Hakkio, C.1
  • 10
    • 45949119253 scopus 로고
    • An empirical investigation of the long-run behaviour of real exchange rates
    • Huizinga, J., 1987, An empirical investigation of the long-run behaviour of real exchange rates, Carnegie-Rochester Conference Series on Public Policy 27, 149-214.
    • (1987) Carnegie-Rochester Conference Series on Public Policy , vol.27 , pp. 149-214
    • Huizinga, J.1
  • 13
    • 19044371729 scopus 로고
    • Testing for unit roots in autoregressive moving average models of unknown order
    • Said, S. and D. Dickey, 1984, Testing for unit roots in autoregressive moving average models of unknown order, Biometrika 71, 599-607.
    • (1984) Biometrika , vol.71 , pp. 599-607
    • Said, S.1    Dickey, D.2
  • 16
    • 0002930328 scopus 로고
    • The long-run behaviour of the real exchange rate: A reconsideration
    • Whitt, J., 1992, The long-run behaviour of the real exchange rate: A reconsideration, Journal of Money, Credit and Banking 24, 72-82.
    • (1992) Journal of Money, Credit and Banking , vol.24 , pp. 72-82
    • Whitt, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.