Testing deviations from PPP and UIP: evidence from BRICS economies

作者: K. P. Prabheesh , Bhavesh Garg

DOI: 10.1108/SEF-10-2019-0411

关键词: Purchasing power parityMonetary economicsPrice indexEconomicsExchange rateCointegration

摘要:

参考文章(39)
Guglielmo Maria Caporale, Sarantis Kalyvitis, Nikitas Pittis, Testing for PPP and UIP in an FIML framework Journal of Policy Modeling. ,vol. 23, pp. 637- 650 ,(2001) , 10.1016/S0161-8938(01)00078-3
Ton Garis, Albert Wijewera, Wagner’s law and social welfare: The case of the kingdom of Saudi Arabia Applied Econometrics and International Development. ,vol. 9, pp. 199- 209 ,(2009)
Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt, Yongcheol Shin, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics. ,vol. 54, pp. 159- 178 ,(1992) , 10.1016/0304-4076(92)90104-Y
S∅ren Johansen, Katarina Juselius, Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK Journal of Econometrics. ,vol. 53, pp. 211- 244 ,(1992) , 10.1016/0304-4076(92)90086-7
Piotr Kębłowski, Aleksander Welfe, A risk-driven approach to exchange rate modelling Economic Modelling. ,vol. 29, pp. 1473- 1482 ,(2012) , 10.1016/J.ECONMOD.2012.02.002
Paresh Kumar Narayan, Seema Narayan, Susan Sunila Sharma, An analysis of commodity markets: What gain for investors? Journal of Banking and Finance. ,vol. 37, pp. 3878- 3889 ,(2013) , 10.1016/J.JBANKFIN.2013.07.009
David N. DeJong, John C. Nankervis, N. E. Savin, Charles H. Whiteman, Integration versus trend stationarity in time series Econometrica. ,vol. 60, pp. 423- 433 ,(1992) , 10.2307/2951602
Piotr Kębłowski, Aleksander Welfe, Estimation of the equilibrium exchange rate: The CHEER approach Journal of International Money and Finance. ,vol. 29, pp. 1385- 1397 ,(2010) , 10.1016/J.JIMONFIN.2010.03.007