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An empirical examination of long-run purchasing power parity as theory of international commodity arbitrage
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Fraser, Patricia, Taylor, Mark P. and Webster, Alan (1991) An empirical examination of long-run purchasing power parity as theory of international commodity arbitrage. Applied Economics, 23 (11). pp. 1749-1759. doi:10.1080/00036849100000070
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Official URL: http://dx.doi.org/10.1080/00036849100000070
Abstract
An empirical analysis of long-run purchasing power parity (PPP) as a theory of international commodity arbitrage between UK and US prices and the sterling/US dollar exchange rate for the period 1975–1980 is presented. Econometric techniques concerning the cointegration of economic time series are applied to a sample of 35 manufactured commodities which in 1977 constituted approximately a quarter of the net output of all manufacturing industry in Great Britain. Our results are extremely unfavourable to the PPP hypothesis as a stable long-run proportionality between exchange rates and disaggregated prices.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Applied Economics | ||||
| Publisher: | Taylor & Francis Ltd. | ||||
| ISSN: | 0003-6846 | ||||
| Official Date: | 1991 | ||||
| Dates: |
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| Volume: | 23 | ||||
| Number: | 11 | ||||
| Page Range: | pp. 1749-1759 | ||||
| DOI: | 10.1080/00036849100000070 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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