TITLE

Purchasing power parity-symmetry and proportionality: Evidence from 116 countries

AUTHOR(S)
Arize, Augustine C.; Malindretos, John; Ghosh, Dilip
PUB. DATE
May 2015
SOURCE
International Review of Economics & Finance;May2015, Vol. 37, p69
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper examines the cointegration property of exchange rates and prices using techniques that have received limited attention in several studies on the validity of the Purchasing Power Parity (PPP) hypothesis. It provides comprehensive evidence on the PPP hypothesis using recent monthly data for 1971 through 2011 (i.e., 492 observations). The paper also explores the symmetry and proportionality conditions in PPP. In addition, estimates of the short-run dynamics are obtained for each country, utilizing the error–correction technique. Results from long-run cointegration analysis, short-run dynamics and half-lives, all provide evidence for long-run PPP. The symmetry condition is largely supported, and when imposed on prices, the proportionality condition is supported in a majority of cases.
ACCESSION #
102316301

 

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