337
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Econometric testing of purchasing power parity in less developed countries: fixed and flexible exchange rate regime experiences

Pages 2617-2630 | Published online: 25 Feb 2008

References

  • Adler , M and Lehman , B . 1983 . Deviations from purchasing power parity in the long run . Journal of Finance , 39 : 1471 – 8 .
  • Bahmani-Oskooee , M . 1995 . Real and nominal effective exchange rate for 22 LDCS: 1971:1–1990:4 . Applied Economics , 27 : 591 – 604 .
  • Calvo , GA and Reinhart , CM . 2000 . Fear of floating NBER Working Paper No. 7993
  • Calvo , GA , Reinhart , CM and Vegh , CA . 1995 . Targeting the real exchange rate: theory and evidence . Journal of Development Economics , 47 : 97 – 133 .
  • Conejo , C and Shields , MP . 1993 . Relative purchasing power parity and the long run terms of trade for five Latin American countries: a cointegration approach . Applied Economics , 25 : 1511 – 5 .
  • DeJong , DN , Nankervis , JC , Savin , NE and Whiteman , CH . 1992 . The power problems of unit root tests in time series with autoregressive errors . Journal of Econometrics , 53 : 323 – 43 .
  • Devereux , J and Connolly , M . 1996 . Commercial policy, the terms of trade and the real exchange rate revisited . Journal of Development Economics , 50 : 81 – 99 .
  • Dickey , DA and Fuller , WA . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Dickey , DA and Fuller , WA . 1981 . Likelihood ratio test statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Enders , W . 1988 . Arima and cointegration tests of PPP under fixed and flexible exchange rate regimes . The Review of Economics and Statistics , 70 : 504 – 8 .
  • Engle , R and Granger , CW . 1987 . Co-integration and error correction: representation, and testing . Econometrica , 55 : 251 – 76 .
  • Flynn , A and Boucher , JL . 1993 . Testing of long-run purchasing power parity using alternative methodologies . Journal of Macroeconomics , 15 : 109 – 22 .
  • Frenkel , J . 1981 . The collapse of purchasing power parities in the 1970s . European Economic Review , 16 : 145 – 65 .
  • Fukuda , K . 2007 . Joint detection of unit roots and cointegration: data-based simulation . Mathematics and Computers in Simulation , 75 : 28 – 36 .
  • Ghosh , AR , Gulde , A-M , Ostry , JD and Wolf , HC . 1997 . Does the nominal exchange rate regime matter? NBER Working Paper No. 5874
  • Guimaraes-Filho , RF . 1999 . Does purchasing power parity hold after all? Evidence from a robust test . Applied Financial Economics , 9 : 167 – 72 .
  • Hall , SG . 1989 . Maximum likelihood estimation of cointegration vectors: an example of the Johansen procedure . Oxford Bulletin of Economics and Statistics , 51 : 213 – 8 .
  • Hasan , MN and Koenker , RW . 1997 . Robust rank tests of the unit root hypothesis . Econometrica , 65 : 133 – 61 .
  • Heather , DG . 1996 . International Finance Exchange Rates and Financial Flows in the International System , 17 – 58 . New York : Longman Publishing .
  • Holmes , MJ . 2000 . Does purchasing power parity hold in African less developed countries? Evidence from a panel data unit root test . Journal of African Economies , 9 : 63 – 78 .
  • Im , KS , Pesaran , MH and Shin , Y . 1997 . Testing for unit roots in heterogeneous panels , Department of Applied Economics, University of Cambridge . mimeo
  • International Monetary Fund . 1997 . Annual Report on Exchange Arrangements and Exchange Restrictions , Washington, DC : IMF .
  • International Monetary Fund . 2000 . Annual Report on Exchange Arrangements and Exchange Restrictions , Washington, DC : IMF .
  • Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 354 .
  • Krugman , PR . 1978 . Purchasing power parity and exchange rates: another look at the evidence . Journal of International Economics , 8 : 397 – 407 .
  • Li , K . 1999 . Testing symmetry and proportionality in PPP: a panel data approach . Journal of Business and Economic Statistics , 17 : 409 – 28 .
  • Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regressions . Biometrika , 75 : 335 – 46 .
  • Razzaghipour , A , Fleming , GA and Heaney , RA . 2000 . Purchasing power parity and emerging power parity and emerging South East Asian nations School of Finance and Applied Statistics, The Australian National University, Working Paper Series in Finance 00–07
  • Rogoff , K . 1996 . The purchasing power parity puzzle . Journal of Economic Literature , 34 : 647 – 68 .
  • Seabra , F . 1995 . Short-run exchange rate uncertainty in Latin America . Applied Economics , 27 : 441 – 50 .
  • Soofi , AS . 1998 . A fractional cointegration test of purchasing power parity: the case of selected members of OPEC . Applied Financial Economics , 8 : 559 – 66 .
  • Taylor , MP . 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .
  • Taylor , AM and Taylor , MP . 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 : 135 – 58 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.