Long-run purchasing power parity revisited: A Monte Carlo simulation

Applied Economics

Volumn 28, Issue 8, 1996, Pages 967-974

  Huang, Bwo Nung ^a   Yang, Chin W ^b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b CLARION UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 5744231927     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368496328092     Document Type: Article

References (25)

1. Adler, M. and Lehmann, B. (1983) Deviations from purchasing power parity in the long run, Journal of Finance, 38, 1471-87.
2. Ballie, R. and Selover, D. (1987) Cointegration and models of exchange rate determination, International Journal of Forecasting, 3, 43-51.
3. Canarella, G., Pollard, S. K. and Lai, K. (1990) Cointegration between exchange rates and relative prices: another view, European Economic Review, 34, 1303-22.
4. Cheung Yin-Wong and Lai, K. S. (1993a) Long-run purchasing power parity during the recent float, Journal of International Economics, 34, 181-91.
5. Cheung Yin-Wong and Lai, K. S. (1993b) Finite-sample sizes of Johansen's likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics, 55, 313-28.
6. Corbae, D. and Ouliars, S. (1988) Cointegration and tests of purchasing power parity, Review of Economics and Statistics, 70, 508-11.
7. Davutyan, N. and Pippenger, J. (1985) Purchasing power parity did not collapse during the 1970's, American Economic Review, 75, 1151-58.
8. Dorfman, J. H. (1993) Should normality be a normal assumption, Economics Letters, 42, 143-7.
9. Dornbush, R. (1976) Expectations and exchange rate dynamics, Journal of Political Economy, 84, 1161-76.
10. Engle, R. and Granger, C. (1987) Cointegration and error correction: representation, estimation, and testing, Econometrica, 36, 143-59.
11. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.
12. Engle, R. F. and Yoo, B. S. (1987) Forecasting and testing in co-integrated systems, Journal of Econometrics, 35, 143-59.
13. Flynn, N. A. and Boucher (1993) Test of long-run purchasing power parity using alternative methodologies, Journal of Macroeconomics, 15, 109-22.
14. Frenkel, J. A. (1981) The collapse of purchasing power parities during the 1970's, European Economic Review, 16, 145-65.
15. Johansen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-54.
16. Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Oxford Bulletin of Economics and Statistics, 52, 169-210.
17. Lucas, R. (1982) Interest rates and currency prices in a two-country world, Journal of Monetary Economy, 83, 335-60.
18. Mark, N. (1990) Real and nominal exchange rates in the long run: an empirical investigation, Journal of International Economics, 28, 115-36.
19. Manzur, Meher (1990) An international comparison of prices and exchange rates: a new test of purchasing power parity, Journal of International Money and Finance, 9, 75-91.
20. Manzur, Meher and Mohamed Ariff (1995) Purchasing power parity: new methods and extensions, Applied Financial Economics, 5, 19-26.
21. Osterwald-Lenum, M. (1992) A note with fractiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics: four cases, Oxford Bulletin of Economics and Statistics, 54, 461-72.
22. Roll, R. (1979) Violations of purchasing power parity and their implications for efficient international commodity markets, in M. Sarnat and G. Szego (eds), International Finance and Trade (Ballinger, Cambridge, MA).
23. Schwert, G. W. (1989) Tests for unit roots: a Monte Carlo investigation, Journal of Business and Economic Statistics, 7, 147-59.
24. Taylor, M. P. (1988) An empirical examination of long run purchasing power parity using co-integration techniques, Applied Economics, 20, 1369-82.
25. Taylor, M. P. and McMahon, P. C. (1988) Long run purchasing power parity in the 1920s, European Economic Review, 32, 179-97.