The PPP hypothesis in the US/China relationship. Fractional integration, time variation and data frequency
作者： Luis A. Gil-Alana , Jiang Liang
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摘要: This paper deals with the analysis of Purchasing Power Parity (PPP) hypothesis in China by means fractional integration or I(d) techniques. Using real exchange rates data between Chinese Yuan and US dollar, results indicate that estimated order d is generally larger than 1, which PPP does not hold long run over sample period 1994M01 to 2010M11. Moreover, check stability across period, we re-estimate it recursively different subsample periods 5-year 10-year frequencies respectively. The recursive show after structural change at beginning differencing parameter remains stable 1.
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