Cointegration and Tests of Purchasing Power Parity
作者： Dean Corbae , Sam Ouliaris
DOI: 10.2307/1926790
关键词:
摘要: Nonstationarity in the levels of spot exchange rates and domestic foreign price indices makes use conventional tests absolute version purchasing power parity (PPP) inappropriate. If PPP is true, inter-country commodity arbitrage ensures that deviations from a linear combination should be stationary. Under these conditions, form cointegrated system. We find null hypothesis no cointegration cannot rejected for all five countries, thus violating "long-run" PPP.
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