TITLE

A Cointegration Analysis of Purchasing Power Parity and Country Risk

AUTHOR(S)
Su-Yin Cheng; Jong-Shin Wei; Han Hou
PUB. DATE
December 2008
SOURCE
International Journal of Business & Economics;2008, Vol. 7 Issue 3, p199
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper examines purchasing power parity (PPP) for 61 countries using the panel conintegration method developed by Westerlund (20007). After controlling for cross-sectional dependence, the results show that weak PPP is stronger for Latin American countries and for countries with moderate country risk, defined in terms of political, economic, and financial components, with direct or indirect implications for the validity of PPP. Compared with a single country risk captures more information for explaining the validity of the PPP hypothesis.
ACCESSION #
56531547

 

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