Empirical verification of the purchasing power parity
DOI:
https://doi.org/10.12775/OeC.2012.014Keywords:
purchasing power parity, real exchange rate, stationarity, cointegrationAbstract
This paper attempts to empirically verify the Purchasing Power Parity. Particular attention has been paid to the possible reasons behind the deviations of exchange rates from the values implied by the parity and to the theoretical justification of this phenomenon. Formal empirical verification was based on econometric tools appropriate to investigate the cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data sourced from the ?OECD Statistical Compendium 2009? during the 1970-2009 time period. The paper ends with interpretation of findings in the context of the exiting international literature.
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References
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Serletis A., Gogas P. (2004), Long horizon regression tests of the theory of PPP, ?Journal of Banking & Finance?, No. 28.
Shapiro A. (1983), What does PPP mean?, ?Journal of International Money and Finance?, No. 2.
Wejner P. (2008), Parytet siły nabywczej jako wyznacznik realnego kursu walutowego, http://www.nbp.pl/home.aspx?f=/publikacje/materialy_i_ studia/informacja.html
Zhenhui X. (2003), PPP, price indices and exchange rate forecasts. ?Journal of International Money and Finance?, No. 22.
Chmielewski T. (2003), Od kursu płynnego do unii monetarnej. Znaczenie efektu Balassy ? Samuelsona, Warszawa, http://www.nbp.pl/home.aspx ?f=/publikacje/materialy_i_studia/informacja.html.
Coe P., Serletis A. (2002), Bound tests of theory of PPP, ?Journal of Banking & Finance?, No. 26.
Eiteman, Stonehill, Moffett (2007), Multinational Business Finance, Pearson. Addison Wesley.
Johnson P. (1991), Aggregate price indexes, cointegration and test of the PPP hypothesis, ?Economic Letters?, No. 36.
Krugman P.R., Obstfeld M. (2007), Ekonomia międzynarodowa. Teoria i polityka, Wydawnictwo Naukowe PWN, Warszawa.
Lo M., Wong S. (2006), What explains the deviations of PPP across countries? International evidence from macro data, ?Economic Letters?, No 91.
McNown R., Wallace M. (1989), National price levels, PPP and cointegration: a test of four high inflation economies, ?Journal of International Money and Finance?, No 8.
Moosa I., Bhati R. (1997), International Parity Conditions. Theory, Econometric Testing and Empirical Evidence, Macmillan Press LTD. Great Britain.
Rosenberg R.M. (2003), Exchange ? Rate Determiantion, The McGraw ? Hill, Nowy Jork.
Serletis A., Gogas P. (2004), Long horizon regression tests of the theory of PPP, ?Journal of Banking & Finance?, No. 28.
Shapiro A. (1983), What does PPP mean?, ?Journal of International Money and Finance?, No. 2.
Wejner P. (2008), Parytet siły nabywczej jako wyznacznik realnego kursu walutowego, http://www.nbp.pl/home.aspx?f=/publikacje/materialy_i_ studia/informacja.html
Zhenhui X. (2003), PPP, price indices and exchange rate forecasts. ?Journal of International Money and Finance?, No. 22.
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Published
30-09-2012
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Articles
How to Cite
Wiśniewski, J. (2012). Empirical verification of the purchasing power parity. Oeconomia Copernicana, 3(3), 37-61. https://doi.org/10.12775/OeC.2012.014
