Autore: Gil-Alana, Luis A.
Titolo: Fractional integration in teh purchasing power parity
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1998 - Fascicolo: 18 - Pagina iniziale: 1 - Pagina finale: 24

The empirical evidence of the Purchasing Power Parity (PPP) hypothesis in the exchange rate market is examined by means of fractional integration analysis. Robinson's (1994) fractionally-based tests for testing unit roots and other nonstationary and stationary hypotheses are applied to nominal and real exchange rates data between U.S. and five industrialized countries. The conclusions vary substantially across the countries and across the different specifications of the disturbances and thus, it is important to specify carefully the short-run dynamics of each of the series in order to check if the PPP hypothesis holds.


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