20
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

A new approach to testing ex ante purchasing power parity

Pages 148-151 | Published online: 05 Oct 2010

References

  • Adler , M. and Lehman , B. 1983 . Deviations from purchasing power parity in the long run . Journal of Finance , 38 : 1471 – 1487 .
  • Corbae , D. and Ouliaris , S. 1988 . Cointegration and tests of purchasing power parity . Review of Economics and Statistics , 70 : 508 – 511 .
  • Cumby , R. E. and Obstfeld , M. 1984 . “ International interest rate and price level linkages under flexible exchange rates: a review of recent evidence ” . In Exchange Rate Theory and Practice , Edited by: Bilson , T. F. and Marston , R. C. Chicago University Press .
  • Darby , M. R. 1980 . Does purchasing power parity work? , NBER Working Paper No. 607 1 – 29 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 431 .
  • Fiorentini , R. 1991 . Ex ante purchasing power parity: an empirical note . Weltwirtschaftliches Archiv , 127 : 343 – 355 .
  • Huang , R. D. 1987 . Expectations of exchange rates and differential inflation rates: further evidence on purchasing power parity in efficient markets . Journal of Finance , 42 : 69 – 79 .
  • Huang , R. D. 1990 . Risk and parity in purchasing power . Journal of Money, Credit and Banking , 22 : 338 – 356 .
  • MacDonald , R. 1985 . Are deviations from purchasing power parity efficient? Some further answers . Weltwirtschaftliches Archiv , 12 : 638 – 645 .
  • McCallum , B. T. 1976a . Rational expectations and the estimation of econometric models: an alternative procedure . International Economic Review , 17 : 484 – 490 .
  • McCallum , B. T. 1976b . Rational expectations and the natural rate hypothesis: some consistent estimates . Econometrica , 44 : 43 – 52 .
  • Phillips , P. C. B. and Ouliaris , S. 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 193 .
  • Roll , R. 1979 . “ Violations of purchasing power parity and their implications for efficient international commodity markets ” . In International Finance and Trade , Edited by: Sarnat , M. and Szego , G. P. Vol. 1 , Cambridge, MA : Ballinger .
  • Taylor , M. P. 1990 . On unit roots and real exchange rates: empirical evidence and Monte Carlo analysis . Applied Economics , 22 : 1311 – 1321 .
  • West , K. D. 1988 . Asymptotic normality when regressors have a unit root . Econometrica , 56 : 1397 – 1418 .
  • Wickens , M. R. 1982 . The efficient estimation of econometric models with rational expectations . Review of Economic Studies , 49 : 55 – 67 .

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.