000177933 001__ 177933
000177933 005__ 20190316235410.0
000177933 0247_ $$2doi$$a10.1007/s00181-010-0441-0
000177933 022__ $$a0377-7332
000177933 02470 $$2ISI$$a000304108200005
000177933 037__ $$aARTICLE
000177933 245__ $$aDigging out the PPP hypothesis: an integrated empirical coverage
000177933 260__ $$bSpringer Verlag$$c2012
000177933 269__ $$a2012
000177933 336__ $$aJournal Articles
000177933 520__ $$aWe use several popular tests to test the validity of the Purchasing Power Parity (PPP) hypothesis. In particular, we analyze four classes of tests-standard univariate unit root tests, co-integration, panel unit root tests, and unit root tests for nonlinear frameworks-for a dataset consisting of 20 bilateral exchange rates. Through this approach, we ascertain the effectiveness of each methodology in assessing the validity of PPP. Overall, our results suggest little evidence to support PPP. Among the conducted tests, the Panel Analysis of Nonstationarity in the Idiosyncratic and Common components (PANIC) provides the richest insights by disentangling the possible sources of non-stationarity of real exchange rates. The relevance of using price indices with different characteristics is also pinpointed.
000177933 6531_ $$aPpp
000177933 6531_ $$aReal exchange rate
000177933 6531_ $$aUnit roots
000177933 6531_ $$aCo-integration
000177933 6531_ $$aPanel
000177933 6531_ $$aNonlinear models
000177933 6531_ $$aCross-sectional dependence
000177933 6531_ $$aPurchasing-Power-Parity
000177933 6531_ $$aReal Exchange-Rates
000177933 6531_ $$aUnit-Root Tests
000177933 6531_ $$aNumerical Distribution-Functions
000177933 6531_ $$aNonlinear Mean-Reversion
000177933 6531_ $$aBretton-Woods Period
000177933 6531_ $$aLong-Run
000177933 6531_ $$aPanel-Data
000177933 6531_ $$aNull Hypothesis
000177933 6531_ $$aRecent Float
000177933 700__ $$0245140$$g206788$$ade Carvalho, Miguel
000177933 700__ $$aJulio, Paulo
000177933 773__ $$j42$$tEmpirical Economics$$q713-744
000177933 8564_ $$uhttps://infoscience.epfl.ch/record/177933/files/Empirical%20Economics%20%20de%20Carvalho.pdf$$zPublisher's version$$s351365$$yPublisher's version
000177933 909C0 $$xU10124$$0252136$$pSTAT
000177933 909CO $$qGLOBAL_SET$$pSB$$ooai:infoscience.tind.io:177933$$particle
000177933 917Z8 $$x111184
000177933 937__ $$aEPFL-ARTICLE-177933
000177933 973__ $$rREVIEWED$$sPUBLISHED$$aEPFL
000177933 980__ $$aARTICLE