Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

Springer Science and Business Media LLC - Tập 45 - Trang 187-196 - 2016
Jingfei Wu1, Mohsen Bahmani-Oskooee2, Tsangyao Chang3
1School of Economics, Shanghai University, Shanghai, China
2Department of Economics, The Center for Research on International Economics, University of Wisconsin-Milwaukee, Milwaukee, USA
3Department of Finance, Feng Chia University, Taichung, Taiwan

Tóm tắt

This study revisits purchasing power parity (PPP) for the G6 countries (i.e., Canada, Italy, Japan, France, Germany, the UK) using smooth time-varying cointegrating approach, proposed by Park and Hahn (Econom Theory 15:664–703, 1999). Using monthly data over the 1971M1–2013M12 period, our empirical results indicate that PPP holds in two out of six countries (i.e., France and Germany).

Tài liệu tham khảo

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