Advanced search
Publication Cover
Applied Economics Letters Volume 4, 1997 - Issue 10
Submit an article Journal homepage
47
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

Testing purchasing power parity in the presence of transaction costs

Michael Pippenger Department of Economics, School of Management, University of Alaska, P.O. Box 756080, Fairbanks, Alaska, 99775, USA
&
John M. Geppert Department of Finance, College of Business Administration, University of Nebraska-Lincoln, Lincoln, NE, 68588–0490, USA
Pages 611-614 | Received 14 Jun 1996, Published online: 02 Nov 2006

References

  • Bleaney , M. and Mizen , P. 1995 . empirical tests of mean reversion in real exchange rates: a survey . Bulletin of Economic Research , 47 : 171 – 95 .
  • Cheung , Y.-W. and Lai , K.S. 1993 . Long-run purchasing power parity during the recent float . Journal of International Economics , 34 : 181 – 92 .
  • Dickey , D.D. and Thornton , D. 1991 . A primer on cointegration with an application to money and income . Federal Reserve Bank of St. Louis Review , 73 : 58 – 78 . March/April
  • Goering , G. and Pippenger , M. 1994 . A note regarding ARCH and threshold processes: results from a Monte Carlo study . Applied Economic Letters , 1 : 210 – 13 .
  • Johansen , S. 1988 . Statistical analysis of cointegrating vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on cointegration – with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Kwiatowski , D. , Phillips , P. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
  • Lucas , R. 1982 . Interest rates and currency prices in a two-country world . Journal of Monetary Economics , 10 : 335 – 59 .
  • Osterwald-Lenum , M. 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics . Oxford Bulletin of Economics and Statistics , 54 : 461 – 72 .
  • Pippenger , M.K. 1993 . Cointegration test of purchasing power parity: the case of Swiss exchange rates . Journal of International Money and Finance , 12 : 46 – 61 .
  • Pippenger , M.K. and Goering , G.E. 1993 . A note on the empirical power of unit root tests under threshold process . Oxford Bulletin of Economics and Statistics , 55 : 473 – 81 .
  • Sercu , P. , Uppal , R. and Van Hulle , C. 1995 . The exchange rate in the presence of transactions costs: implications for tests of purchasing power parity . Journal of Finance , 50 : 1309 – 19 .
  • Whitt , J.A. 1992 . The long-run behavior of the real exchange rate: a reconsideration . Journal of Money Credit and Banking , 21 : 72 – 82 .

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:

Order Reprints Request Corporate Permissions

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:

Request Academic Permissions

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.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.