Purchasing power parity and the theory of general relativity: The first tests
UNSPECIFIED (2005) Purchasing power parity and the theory of general relativity: The first tests. In: 8th International Conference on Macroeconomic Analysis and International Finance, Univ Crete, Rethymno, GREECE, MAY 27-29, 2004. Published in: JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 24 (2). pp. 293-316.Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jimonfin.2004.12.008
We implement novel tests of general relative purchasing power parity (PPP), defined as a long-run unit elasticity of the nominal exchange rate with respect to relative national prices, allowing for potentially permanent real exchange rate shocks. The finite-sample properties of the estimators used are analyzed through Monte Carlo analysis, allowing for country heterogeneity, cross-sectional dependence and non-stationary disturbances. Application to panel data sets of industrialized and developing economies reveals that inflation differentials are on average reflected one-for-one in long-run nominal exchange rate depreciation-i.e. that general relative PPP holds. (c) 2004 Published by Elsevier Ltd.
|Item Type:||Conference Item (UNSPECIFIED)|
|Subjects:||H Social Sciences > HG Finance|
|Journal or Publication Title:||JOURNAL OF INTERNATIONAL MONEY AND FINANCE|
|Publisher:||ELSEVIER SCI LTD|
|Official Date:||March 2005|
|Number of Pages:||24|
|Page Range:||pp. 293-316|
|Title of Event:||8th International Conference on Macroeconomic Analysis and International Finance|
|Location of Event:||Univ Crete, Rethymno, GREECE|
|Date(s) of Event:||MAY 27-29, 2004|
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